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
- Lecturer: Shadreck Matindike