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FINC308 Financial Econometrics

Aspects of distribution theory and regression analysis, and an applied study of time series modelling techniques and forecasting.

This paper builds on FINC 203 (Data Analysis) to provide more-specialised training of advanced econometric techniques used in postgraduate and research studies, as well as research-analysis types of jobs. Thus, the first and foremost audience of this paper is students who plan postgraduate studies in the future (e.g. those who will undertake Master's or PhD research must take this paper).

Paper title Financial Econometrics
Paper code FINC308
Subject Finance
EFTS 0.1500
Points 18 points
Teaching period Second Semester
Domestic Tuition Fees (NZD) $829.65
International Tuition Fees (NZD) $3,993.30

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FINC 203
STAT 241
Schedule C
Teaching staff
To be advised.
Paper Structure
Econometrics helps us empirically test theories and understand relationships between variables that are of interest for businesses and financial institutions. Successful completion of this paper will help you gain skills that will allow you to distinguish yourself (e.g. to be one of the few in your workplace who can conduct an econometric analysis or read and understand an empirical study), to apply for technical-expertise jobs and to successfully conduct academic research.
Teaching Arrangements
This is an applied econometrics paper. All classes are held in a computer lab.
"Introductory Econometrics for Finance" by Chris Brooks, 2008
Graduate Attributes Emphasised
Critical thinking, Research, Self-motivation, Teamwork.
View more information about Otago's graduate attributes.
Learning Outcomes
  • Have good understanding of types and forms of data and how to use them in econometric analysis
  • Be reminded of, and now better understand and internalise, the principles and diagnostics of regression analysis and its statistical inference
  • Learn advanced time-series techniques, such as ARIMA, VAR, Cointegration and GARCH
  • Be able to read and understand empirical research studies that use these econometric techniques
  • Be able to replicate the empirical work of some of these studies
  • Know how to access data sources and prepare data for econometric analysis

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Second Semester

Teaching method
This paper is taught On Campus
Learning management system


Stream Days Times Weeks
A1 Monday 15:00-16:50 28-34, 36-41
Wednesday 15:00-16:50 28-34, 36-41


Stream Days Times Weeks
A1 Tuesday 12:00-13:50 28-34, 36-41