Fall 2021 - ECON 433 D100

Financial and Time Series Econometrics (3)

Class Number: 3213

Delivery Method: In Person

Overview

  • Course Times + Location:

    Sep 8 – Dec 7, 2021: Thu, 11:30 a.m.–2:20 p.m.
    Burnaby

  • Instructor:

    Bertille Antoine
    baa7@sfu.ca
    1 778 782-4514
  • Prerequisites:

    ECON 333 and ECON 305, with a minimum grade of C-; 60 units.

Description

CALENDAR DESCRIPTION:

Introduction to econometric methods used to analyze univariate and multivariate time series data. Topics covered may include modeling and forecasting financial and macroeconomic data such as asset returns and volatility. GDP growth rates and default risk. All methods and concepts will be applied to analyze real data using appropriate computer programs. Students with credit for ECON 484 under the title "Time Series Analysis" cannot take this course for further credit.

COURSE DETAILS:

Introduction to econometric methods used to analyze univariate and multivariate time series data. Topics covered may include modeling and forecasting financial and macroeconomic data such as asset returns and volatility. GDP growth rates and default risk. All methods and concepts will be applied to analyze real data using appropriate computer programs.

General course objectives:

  • To develop an understanding of univariate and multivariate time-series methods, including estimation and statistical model evaluation;
  • To become familiar with methods for modelling long-run relationships in finance;
  • To become familiar with methods for modelling volatility and correlation, such as ARCH and GARCH;
  • To be able to forecast volatility;
  • To apply the concepts learnt using appropriate computer programs and simulation methods using the software

Grading

  • Assignments 40%
  • Exams 40%
  • Project 20%

Materials

REQUIRED READING:

“Introductory Econometrics for Finance”, 4th Edition. Chris Brooks. Cambridge University Press.


Department Undergraduate Notes:

Please note that, as per Policy T20.01, the course requirements (and grading scheme) outlined here are subject to change up until the end of the first week of classes.

Final exam schedules will be released during the second month of classes. If your course has a final exam, please ensure that you are available during the entire final exam period until you receive confirmation of your exam dates. 

Students requiring accommodations as a result of a disability must contact the Centre for Accessible Learning (CAL) at 778-782-3112 or caladmin@sfu.ca.

***NO TUTORIALS DURING THE FIRST WEEK OF CLASSES***

Registrar Notes:

ACADEMIC INTEGRITY: YOUR WORK, YOUR SUCCESS

SFU’s Academic Integrity web site http://www.sfu.ca/students/academicintegrity.html is filled with information on what is meant by academic dishonesty, where you can find resources to help with your studies and the consequences of cheating.  Check out the site for more information and videos that help explain the issues in plain English.

Each student is responsible for his or her conduct as it affects the University community.  Academic dishonesty, in whatever form, is ultimately destructive of the values of the University. Furthermore, it is unfair and discouraging to the majority of students who pursue their studies honestly. Scholarly integrity is required of all members of the University. http://www.sfu.ca/policies/gazette/student/s10-01.html

TEACHING AT SFU IN FALL 2021

Teaching at SFU in fall 2021 will involve primarily in-person instruction, with approximately 70 to 80 per cent of classes in person/on campus, with safety plans in place.  Whether your course will be in-person or through remote methods will be clearly identified in the schedule of classes.  You will also know at enrollment whether remote course components will be “live” (synchronous) or at your own pace (asynchronous).

Enrolling in a course acknowledges that you are able to attend in whatever format is required.  You should not enroll in a course that is in-person if you are not able to return to campus, and should be aware that remote study may entail different modes of learning, interaction with your instructor, and ways of getting feedback on your work than may be the case for in-person classes.

Students with hidden or visible disabilities who may need class or exam accommodations, including in the context of remote learning, are advised to register with the SFU Centre for Accessible Learning (caladmin@sfu.ca or 778-782-3112) as early as possible in order to prepare for the fall 2021 term.