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|
|Teaching period||Second Semester|
|Domestic Tuition Fees (NZD)||$829.65|
|International Tuition Fees (NZD)||$3,993.30|
- 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