ORF 504/Fin 504: Financial Econometrics

Spring Semester, 2019
MW 9:30 - 10:50 in 101 Sherred Hall

Publication Details
The Elements of Financial Econometrics Book Cover

Fan, J. and Yao, Q. (2015). The Elements of Financial Econometrics (383pp).
Science Press, Beijing
Table of Contents, a sample chapter, Figures and Computer Programs 
To order the book from amazon.com
To order the book from China, Shipping Information

General Information

Instructor: Jianqing Fan, Frederick L. Moore'18 Professor of Finance. Office: 203b BCF and 205 Sherred Hall.  Phone: 258-7924. E-mail: [email protected]

Office Hours: Monday: 3:00pm--4:00 pm (205 Sherred Hall), Wednesday 4:00pm -- 5:00pm (203b BCF), or by appointments.

Precept: Arranged periodically by the AI

Assistants in Instruction (AIs)

  • Wenyan Gong [email protected], 258-9433, Office:  222 Sherred Hall
    Office Hours: Tuesday,  3:00--4:00pm and Thursday, 3:00-4:00pm
  • Financial Econometric Lab, 222 Sherred Hall, 258-9433,
    Statistics Lab, 213 Sherred Hall, 258-8787

Text Book

Reference Books

  • J.Y. Campbell, A.W. Lo and A.C. MacKinlay (1997): The Econometrics of Financial Markets, Princeton University Press
  • Tsay, R.S. (2010). Analysis of Financial Time Series (Third edition), John Wiley & Sons.

Syllabus

This course covers econometric and statistical methods as applied to finance. Topics include

  • Asset returns and efficient markets
  • Linear time series and dynamics of returns
  • Discrete time volatility models of returns
  • Multivariate time series and volatility (assigned reading)*
  • Efficient portolios and CAPM
  • Multifactor pricing models
  • Portfolio allocation and risk assessment
  • Comsumption-based CAPM
  • Present value models
  • Simulation methods for financial derivatives
  • Econometrics of continuous time finance
  • Forecast and management of market risks*

Computation

The software package for this class is R. See R-labs below. Most of computation in this class can be done through a laptop. Laptops with wireless communication off can be used during the exams, and so are the calculators.

Attendance

Attendance of the class is required and essential.  The course materials are mainly from the notes.  Many conceptual issues and financial econometrics thinking are only taught in the class. They will appear in the midterm and final exams. In addition, random quizzes will be used to check understanding and attendance.

Homework

Problems will be assigned at class meetings. No late homework will be accepted (120 Sherred Hall has an In-Out box for the class). Missed homework will receive a grade of zero. The homework will be graded, and each assignment carries equal weight. You are allowed to work with other students on the homework problems, however, verbatim copying of homework is absolutely forbidden. Therefore each student must ultimately produce his or her own homework to be handed in and graded.

Exams

There will be one in-class midterm exam, and a final exam. All exams are required and there will be no make-up exams. Missed exams will receive a grade of zero. All exams are open-book and open-notes. Laptops with wireless off and calculators may be used during the exams.

Schedules and Grading Policy

Assignment Schedule
Homework (30%) Various due dates (5 sets)
Midterm Exam (20%) Wednesday, March 27, 2019 (9:30--10:50am, in class) 
Final Exam (45%) Thursday, 9:30am--12:30pm May 16, 2019 (Friend 006) 
Class participation (5%) class hours.

R-labs

The following files intend to help you familiar with the use of R-lab commands.

Here are some useful materials too.

Datasets used in class

Daily Data Sets

Weekly Data Sets

Monthly Data Sets

Other Data Sets