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.
| Paper title | Advanced Financial Econometrics |
|---|---|
| Paper code | FINC406 |
| Subject | Finance |
| EFTS | 0.1667 |
| Points | 20 points |
| Teaching period | Semester 1 (On campus) |
| Domestic Tuition Fees (NZD) | $1,163.90 |
| International Tuition Fees | Tuition Fees for international students are elsewhere on this website. |
- Recommended Preparation
- FINC 308 and two further 300-level FINC papers
- Contact
- accountancyfinance@otago.ac.nz
- Teaching staff
- Paper Structure
The paper covers Financial Econometrics with applications using STATA software.
- Teaching Arrangements
Lectures and computer labs.
- Textbooks
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.
