Financial Econometrics

This course covers applied financial econometrics at the graduate level. Students will gain hands-on experience modelling real-world financial data using intermediate/advanced financial econometric methods. The course is primarily empirical and applied in nature. Financial and econometric theory will be included selectively to facilitate an understanding of empirical finance research. Students will work on empirical modelling during class using the programming language R and the RStudio integrated development environment. Much of the course will focus on the analysis of corporate financial data and stock markets. Important components of the course include research methodology in finance, understanding financial data, and interpreting the results of financial econometric analyses. We follow reproducible research principles.

On successful completion, students will be able to:

1. understand and apply the intermediate/advanced analytical methods used to investigate research questions in finance.
2. articulate and explain different types of corporate financial data.
3. explain the approaches to empirical finance research methodology.
4. interpret and evaluate the results of financial econometric analyses.
5. competently perform and estimate financial analyses in the programming language R.

FAQs

Are there prerequisites?

Students should have completed courses in finance, economics, statistics and mathematics. Students should have a reasonable grasp of current events in finance and financial markets reported in the financial press such as the Nikkei, Financial Times, Wall Street Journal and Economist. Prior experience in using the R programming language is not mandatory but would be an advantage.