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    Provides an understanding of the methodology and techniques used in empirical research, enabling students to do independent research. Analysis and criticism of current empirical literature.

    The aim of the course is to acquaint the students with applying financial econometrics for empirical research in finance. Econometrics helps us to empirically test theories; understand relationships between variables that are of interest for businesses and financial institutions.

    Major topics covered in this course include regression analysis, time series modelling, unit root analysis, cointegration and error correction models, vector autoregression (VAR), volatility modelling with ARCH/GARCH, simultaneous equation model, Logit/Probit models, and modelling with panel data.

    The statistical package STATA will be used intensively in the course and the students are expected to use STATA on their own in analysing the data. An introductory lecture on STATA software will be given at the beginning of the course to teach the basics and other procedures will be introduced during the lectures.

    About this paper

    Paper title Advanced Financial Econometrics
    Subject Finance
    EFTS 0.1667
    Points 20 points
    Teaching period Semester 1 (On campus)
    Domestic Tuition Fees ( NZD ) $1,196.41
    International Tuition Fees Tuition Fees for international students are elsewhere on this website.
    Recommended Preparation
    FINC 308 and two further 300-level FINC papers
    Teaching staff

    Dr Duminda Kuruppuarachchi

    Paper Structure

    The paper covers Financial Econometrics with applications using STATA software.

    Teaching Arrangements

    Lectures and computer labs.


    Principles of econometrics by R. Carter Hill; William E. Griffiths; G. C. Lim , 5th ed. Hoboken, NJ : Wiley 2018.

    Course outline

    View the course outline for FINC 406

    Graduate Attributes Emphasised
    Communication, Critical thinking, Research, Self-motivation.
    View more information about Otago's graduate attributes.
    Learning Outcomes

    Students who successfully complete the paper will:

    • Understand the types and forms of data and how to use them in an econometric analysis
    • Identify the sources of financial data (Bloomberg, Capital IQ, Compustat, etc.) that can be used to extract the necessary data for an econometric analysis
    • Demonstrate the knowledge on econometric techniques such as regression analysis, univariate and multivariate time series analysis, and panel data analysis
    • Apply appropriate econometric techniques in solving financial problems that arise in real life and research using the STATA software
    • Demonstrate the ability to report, interpret and present the results obtained from a statistical analysis


    Semester 1

    Teaching method
    This paper is taught On Campus
    Learning management system


    Stream Days Times Weeks
    A1 Tuesday 09:00-10:50 9-13, 15-22
    Thursday 15:00-16:50 9-13, 15-16, 18-22
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