FNCE 450 FINANCIAL ECONOMETRICS 2ND SEM 2022

 

FACILITATOR: 

Dr. S. Matindike

(+263 775 143 073; matindikes@solusi.ac.zw; shadmat@gmail.com )

AIM

This course aims at introducing various aspects of financial econometrics including regression, the classical linear regression model, gauss markov theorem, interpretation of results from economic models, etc. Characteristics of financial data will be studied, and several major econometric models used in finance will be surveyed. Students will learn how to concretely treat and analyze financial data, will be introduced to some of the major tools used in both in the literature and by practitioners.

PRE-REQUISITES

Basic Statistics, Basic Financial Mathematics and Basic Economic/Financial Theory

 

TOPICS:

Topic one: Introduction (the nature and purpose of econometrics)

Topic two: Regression analysis

Topic three: Classical linear regression model (CLRM)

Topic four (optional):  Statistical inference

Topic five: Classical linear regression model assumptions and diagnostics

Topic six: Interpreting results from an econometric model

 

INTRODUCTORY READINGS:

1.Brooks, C. ‘Introductory Econometrics for Finance’

2.Asteriou & Hall, ‘Applied Econometrics’

3.Cochrane, J. ‘Time Series for Macroeconomics and Finance’

 

COURSE ASSESSMENT

1.      Two Individual Assignments

2.      One Test