Financial Econometrics Outline

Financial Econometrics

Spring 2014

University of Management and Technology

Course outline and calendar
Basic information
Program:
Semester:
Credit hours:
Course duration:
MS/M.Phil Finance
Spring 2014
3Part 1 - Introduction and flashback to FM I
15 Sessions
Instructor:
Email address:
Usman Javed Gilani

[email protected]
Office hours:
Moodle Page:
Fair game Principle applies

Financial econometrics Spring 2014
Course description
The aim of this course is to help students develop a working knowledge of
econometrics and its applications to real-world economic data. The course is based on
ordinary least squares regression models and will cover topics related to simple and
multiple regression methods using cross-sectional data, focusing on issues of
estimation and inference. Extensions to the regression model as well as simple timeseries and panel data settings will also be considered. There will be an emphasis on
how to apply the methods in practice, fostering the ability to conduct empirical
research in economics and other social sciences.
Learning outcomes
On completion of the course, students should be able to:
1. List and explain the assumptions underlying ordinary least squares regression.
2. Interpret the estimates generated by applying regression models.
3. Conduct hypothesis testing using the output of regression models.
4. Describe and explain the limitations of regression models.
5. Identify and apply extensions to the cross-sectional regression model which
address special features of alternative data structures.
6. Apply regression modelling to economic data using econometric software.
Spring 2014
Learning Activities and Teaching Strategies

The examinable content of the course is defined by the references given in the lecture
schedule, the content of lectures, and the content of the tutorial program.
Lectures
(15 lectures)
The purpose of lectures is to provide a logical structure for the topics that make up
the course; to emphasise the important concepts and methods of each topic; and to
provide relevant examples to which the concepts and methods are applied.
Tutorials
(13 tutorials)
Tutorials begin in Week 2 and are an integral part of this course. Tutorial
presentations, discussions, and solutions to problems are designed to help students
deepen their understanding of the material and practice applying it.
Research Papers/Articles
Every alternate session Ill post the article link on Moodle which you guys are
required to read critically before coming to next class and we will do further
discussion on methodology and econometric techniques applied in the given
paper/article.
Assessment
Assessment type
Weight
15%
Three individual assignments
Description
Assignment 1:Theory
Assignment 2: (Theory + STATA result
interpretation)
Assignment 3: Model building and
STATA result interpretation.
Class participation
5%
i.
ii.
POP-Quizes
Attendance
Mid-term Exam
15%
Theory and Practical Students are

supposed to fit best model on a given
data set. Furthermore the interpretation
of results are required.
Final Project
40%
Term paper.
Final Exam
25%
Theory and Practical.
Spring 2014
Course material and equipment

Please help yourself and collect the course pack from universitys photocopier.
Titled Financial Econometrics
CD-ROM
The attached CD-ROM contains the following:
1.
eBooks
i. Introductory Econometrics for Finance by Chris Brook. (Core Text)
ii. Econometric analysis by William H. Green.
2.
Econometric packages
i. STATA 12.
ii. EVIEWS 8.
Course load
Follow the following study and time management suggestions to keep yourself on safe
side
Study type
Lectures
Self study
Time
Try to attend all lectures. Take notes where needed.
Give at least 2 hours after every lecture.
Topics to be discussed
Lecture
1
Topic(s) covered
Details
Flashback and introduction to

Econometrics.
i. Types of data
ii.
Introduction to GUI of
econometric packages.
2
Data handling using econometric

software.
i.
ii.
Simple data analysis

techniques.
Understanding result
3
Lecture
Spring 2014
Topic(s) covered
Details
windows.
Introduction to Simple Regression
i. Regression Model.
ii.
Regression Vs.
correlation
4
Simple Regression continued
i. Properties of OLS.
ii.
Simple Regression on STATA
Standard Errors.
i. Understanding result
window.
Univariate time series
i. Introduction.
ii.
AR(1) models
iii.
STATA/Eviews result
windows.
Univariate time series continued.
i. MA(1) models.
ii.
ARMA models.
iii.
STATA/Eviews result
windows.
8
Mid-term
Term paper proposal defence
10
Stationarity and Unit root testing.
i. Introduction.
ii.
Testing for unit root in
STATA.
11
Panel Data models
iii.
Co-integration.
iv.
ECM
i. Introduction.
ii.
Simple panel regression
model.
iii.
12
Panel Data models continued
STATA Panel data GUI
i. Understanding Fixed effects

ii.
Random effect models

4
Lecture
Spring 2014
Topic(s) covered
13
STATA commands
14
Revision
Details
Assignments submission
Only soft copies (preferably .pdf) with following format will be accepted.
1. Font size 12pt.
2. Font type: New Roman.
3. Line spacing: 1.5
Plagiarism
The School of Business & Economics is VERY STRICT against any action of
plagiarism. All final projects will be checked for plagiarism via TURN it
in.
Acceptable limit for similarity index would be 19%
Projects with more than 19% similarity will not be entertained.
(exceptions allowed!)
Class rules
1. Mobile phones should be on silent mode.
2. Late comers will not be allowed.
Group work rules
1. Pick your own groups. (If you have trouble getting picked, I will help!)
2. All group work will be self policed, except in extreme circumstances.
3. Free-Riders will not be entertained in any case.
Spring 2014
Term Paper
A term paper is a research paper written by students over an academic term.
Term paper Structure
Abstract [100 150 words along with key Words]
Introduction
Objectives of the Term Paper
Hypotheses of the Term Paper
Novelty of the Term Paper
Organisation Scheme of the Term Paper
Literature Review
Review of the Past Studies which may Support the Topic;

Model, and Variables of Your Term Paper. Moreover; at least
four research papers should be reviewed for the relationship of
each Independent Variable with dependant variable.
Methodology
Data Sources
Data range should not be less then 28 observations.
Model
Methodological Framework
Estimation Procedure
Analysis and Results
Empirical
Findings;
Their
Justification
and
Supporting
References for the Findings. [Analysis will be made on the basis

of the techniques learnt in the course of financial econometrics;
Advanced techniques can used in the term paper for analysis
with a permission of instructor.]
Discussion and Conclusion
Conclusion
Policy Implication
Direction for Future Research
References [Should be made on APA Format]
Spring 2014
NOTE: Before submitting the final draft students are required to attach:
Originality Report from turn it in whose Similarity Index should be 19% or
less.
Important Note:
As students are using the Departmental resources in development of
their term paperAccording to Department of Finance policy and
regulations, students are not allowed to publish or present their TERM
PAPER in any journal or conference respectively.

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Financial Econometrics

University of Management and Technology

Course outline and calendar

Usman Javed Gilani

Fair game Principle applies

University of Management and Technology

Learning Activities and Teaching Strategies

Three individual assignments

Theory and Practical Students are

Theory and Practical.

University of Management and Technology

Course material and equipment

Flashback and introduction to

Data handling using econometric

Simple data analysis

University of Management and Technology

Introduction to Simple Regression

Simple Regression continued

Simple Regression on STATA

Univariate time series

Univariate time series continued.

Term paper proposal defence

Stationarity and Unit root testing.

Testing for unit root in

Panel Data models

Simple panel regression

Panel Data models continued

STATA Panel data GUI

i. Understanding Fixed effects

Random effect models

University of Management and Technology

University of Management and Technology

Objectives of the Term Paper

Hypotheses of the Term Paper

Novelty of the Term Paper

Organisation Scheme of the Term Paper

Review of the Past Studies which may Support the Topic;

Analysis and Results

References for the Findings. [Analysis will be made on the basis

Discussion and Conclusion

Direction for Future Research

References [Should be made on APA Format]

University of Management and Technology

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