ECONOMETRICS WITH FINANCIAL APPLICATION 1.

Name of course: KINH T LNG CHO LNH VC TI CHNH ECONOMETRICS WITH FINANCIAL APPLICATION (BA313AF) 2. Lecturer: Nguyn Phng Anh, PhD 3. Number of Credits: 3 4. Level: 4th year student 5. Time allocation: o Lecture: 3 hrs/ week o Lab: none o Homework, Assignment: 3 hrs/ week 6. Prerequisites: Statistics for Business BA202IU and Corporate Finance BA309AF 7. Course Description: The course provides students with an understanding of the financial applications in the real world. It will enable students to be more familiar with the applied time series modelling and forecasting of financial assets such as bonds, stocks, and derivatives. The course will also focus more on modelling and forecasting time series, longterm relationships in finance, and volatility and correlation among financial assets. 8. Overall Educational Objectives/ Learning Outcomes: On the successful completion of the course, students should be able to: Effectively use some software packages (e.g., Eviews) for modelling and forecasting financial data; Understand classical linear regression models; Model and forecast time series, long-term relationship in finance, and volatility and correlation using econometric software; Understand limited dependent variable models; and Especially, do dissertation or a project or conduct empirical research in banking and finance. 9. Student responsibility Student is expected that you will spend at least 6 hours per week studying this course. This time should be made up of reading, working on exercises and problem, group assignment and attending class lectures and tutorials. University 1

regulations indicate that if students attend less than 80% of scheduled classes they may be refused final assessment. Regular attendance is essential for successful performance and learning in this course, particular in view of the interactive teaching and learning approach adopted. 10. Course Assessment Policy: One midterm exam: 30% One comprehensive final exam: 40% In-class quizzes, class participation and learning attitude: 30% 11. Textbooks and Other Required Materials: [1] Introductory Econometrics for Finance, 2nd edition, Chris Brooks, Cambridge University Press. [2] Basic Econometrics, 3rd Edition, Damodar N. Gujarati, Mc-Graw Hill. References The Econometrics of Financial Markets by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay 12. Grade scale: 100 13. Course Outline: Introduction Classical linear regression model Time series modelling and forecasting Modelling long-term relationships in finance Modelling volatility and correlation Limited dependent variable models Conducting empirical research or doing a project or dissertation in finance

Week 1

Topic

2-3

Basic Statistical Concepts Probablility and Random Variables Probability Density Function Characteristics of Probablity Distributions Some important theoretical probability distributions - Normal Distribution - Chi-square Distribution - Students t Distribution - F Distribution Statistical Inference: Estimation - Point Estimation - Interval Estimation Statistical Inference: Hypothesis Testing - Confidence Interval Approach - Test of Significance Approach Introduction to Econometrics [1] Chapters 1 & 2 Basic concepts Prepare quizzes/exercises Comparing financial econometrics and economic Use of Eviews econometrics Types of data Returns Process to formulate an econometric model Econometric packages for modelling finacial data Classical linear regression model Basic concepts Comparing regression and correlation Simple regression Further terminologies Assumptions Properties of OLS estimator Precision and standard errors Statistical inference Example Use of Eviews Multiple Linear Regression Introduction Constant term and parameters Testing multiple hypotheses: the F-test Size of the test Goodness of fit statistics Example Use of Eviews

Learning materials and activities [2] Appendixes

[1] Chapter 3 Prepare quizzes/exercises Use of Eviews

5-6-7

Classical linear regression model assumptions [1] Chapter 4 and diagnostic tests Prepare quizzes/exercises Introduction Use of Eviews Statistical distributions for diagnostic tests Testing assumptions Multicollinearity Example Use of Eviews MidTerm Examination

8-9

10

11

12

Time series: univariate models Basic concepts Moving average processes Autoregressive processes Partial AutoCorrelation Function ARMA processes Building ARMA models Constructing ARMA models in Eviews Example Forecasting Forecasting using ARMA with Eviews Modelling long-run relationships in finance Stationarity and unit root testing Testing for unit roots Cointegration Example Modelling volatility and correlation Motivations Models for volatility Historical volatility Implied volatility models ARCH models GARCH models Example Limited dependent variable models Introduction Logit model Probit model Example

[1] Chapters 5 Prepare quizzes/exercises Use of Eviews

[1] Chapter 7 Prepare quizzes/exercises

[1] Chapter 8 Prepare quizzes/exercises

[1] Chapter 11 Prepare quizzes/exercises

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Conducting empirical research or doing a project or dissertation in finance Final Examination

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