BA 434

Course ID:

Course Code & Number

BA 434

Course Title

Financial Econometrics

Level

BS

Credit Hours/ ECTS Credits

(3+0+0) 3 TEDU Credits, 6 ECTS Credits

Year of Study:

Junior

Semester:

Spring

Type of Course:

Compulsory

Mode of Delivery:

Face-to-face

Language of Instruction:

English

Pre-requisite / Co-requisite::

Catalog Description

Mathematical optimization. Data analysis. Probability models. Statistical analysis. Linear models. Dynamic factor models. Intertemporal behavior and method of moments. Econometrics of derivatives. Market indexes.

Course Objectives

The main objective of this course is to explain the basic econometric tools used in finance.

Software Usage

Students will use MS Office applications (Word, Excel, Access, Powerpoint) to work on their weekly assignments about 2 hours a week.

Course Learning Outcomes

Upon succesful completion of this course, a student will be able to
1. Define the basic econometric tools used in finance
2. Recognize the importance of using econometric tools in the assessment of risk in businesses
3. Identify the univariate, multivariate, dynamic and diffusion models
4. Evaluate business plans, sources of capital, marketing and distribution strategies, operations, organization issues, as well as key legal and ethical considerations affecting entrepreneurial ventures
5. Interpret the econometrics of derivatives and market indexes
6. Discover the applications of econometrics tools in the business environment

Learning Activities and Teaching Methods:

Telling/Explaining Discussion/Debate Questioning Reading Peer Teaching Problem Solving Case Study/Scenarion Analysis Oral Presentations/Reports Web Searching

Assessment Methods and Criteria:

Assessment Methods and Criteria Others:

Design Content

Recommended Reading

1. Journal of Financial Econometrics. 2. The Econometrics Journal. 3. Oxford Review of Financial Studies. 4. Journal of Finance. 5. Related journal articles and publications.

Required Reading

1. Financial Econometrics, C. Gourieroux and J. Jasiak, Princeton Series in Finance, 2001.

Grading

Learning Activities and Teaching Methods Others:

Course Coordinator:

Student Workload:

Workload	Hrs
Case Study Analysis	12

Course & Program Learning Outcome Matching: