Fall 2022 - ECON 818 G100

Advanced Topics in Finance (4)

Class Number: 3852

Delivery Method: In Person

Overview

  • Course Times + Location:

    Mo 2:30 PM – 5:20 PM
    WMC 2506, Burnaby

  • Instructor:

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

    ECON 815.

Description

CALENDAR DESCRIPTION:

Advanced topics in finance with a focus on derivative securities. Offered once every other year.

COURSE DETAILS:

Economic forecasting is a key ingredient of decision making both in the public and in the private sector. We introduce econometric and statistical methods and models to analyze and forecast financial and macroeconomic data - including asset returns and volatility. We are especially interested in predicting future expected economic conditions and specific indicators of interest - such as income growth, inflation, interest rates… We focus on:

  • Forecasting with the linear regression model;
  • Forecasting with time series models;
  • Introducing models for large datasets.

 

This is an applied time series forecasting course that focuses on

  • understanding the implications of the abovementioned methods and models for economic and financial interpretation;
  • practical implementation and use of these methods and models for data analysis using appropriate computer programs in R;
  • without providing all their theoretical foundations and justifications.

 

Grading

  • on in-class participation and homework assignments 30%
  • 2 in-class exams 40%
  • Empirical project 30%

Materials

RECOMMENDED READING:

  1. Applied Economic Forecasting using Time Series Methods by Eric Ghysels, Massimiliano Marcellino, Oxford University Press
  2. Introductory econometrics for finance, 4th Edition, by Chris Brooks

https://www.cambridge.org/ca/academic/subjects/economics/finance/introductory-econometrics-finance-4th-edition?format=PB&isbn=9781108436823#bookPeople

 


REQUIRED READING NOTES:

Your personalized Course Material list, including digital and physical textbooks, are available through the SFU Bookstore website by simply entering your Computing ID at: shop.sfu.ca/course-materials/my-personalized-course-materials.

Graduate Studies Notes:

Important dates and deadlines for graduate students are found here: http://www.sfu.ca/dean-gradstudies/current/important_dates/guidelines.html. The deadline to drop a course with a 100% refund is the end of week 2. The deadline to drop with no notation on your transcript is the end of week 3.

Registrar Notes:

ACADEMIC INTEGRITY: YOUR WORK, YOUR SUCCESS

SFU’s Academic Integrity website 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