[{"Announcements":null,"Forums":[],"Workbins":[],"Webcasts":[],"Gradebooks":[],"Polls":[],"Multimedia":[],"LessonPlan":[],"ID":"98121ccf-a40c-43ec-a625-d4dcdc99b21f","CourseLevel":"1","CourseCode":"ECA5315","CourseName":"FINANCIAL ECONOMETRICS","CourseDepartment":"","CourseSemester":"Semester 4","CourseAcadYear":"2014/2015","CourseOpenDate":"/Date(1434729600000+0800)/","CourseOpenDate_js":"2015-06-20T00:00:00","CourseCloseDate":"/Date(1438444740000+0800)/","CourseCloseDate_js":"2015-08-01T23:59:00","CourseMC":"0","isActive":"Y","Permission":"S","Creator":{"UserID":null,"Name":"Chua Yeow Hwee","Email":null,"Title":null,"UserGuid":"db60f721-5864-4a4e-b7a8-01444767e974","AccountType":null},"hasGradebookItems":false,"hasTimetableItems":true,"hasGroupsItems":false,"hasClassGroupsForSignUp":false,"hasGuestRosterItems":true,"hasClassRosterItems":true,"hasWeblinkItems":false,"hasLecturerItems":true,"hasDescriptionItems":true,"hasReadingItems":false,"hasAnnouncementItems":false,"hasProjectGroupItems":false,"hasProjectGroupsForSignUp":false,"hasConsultationItems":false,"hasConsultationSlotsForSignUp":false,"hasLessonPlanItems":false,"Badge":0,"BadgeAnnouncement":0,"WebLinks":[],"Lecturers":[{"ID":"86417d98-2c63-42b0-8def-b7fe3a3f692a","User":{"UserID":null,"Name":"Chua Yeow Hwee","Email":null,"Title":null,"UserGuid":"db60f721-5864-4a4e-b7a8-01444767e974","AccountType":null},"Role":"Lecturer ","Order":1,"ConsultHrs":null}],"Descriptions":[{"ID":"2e5f053b-8835-4692-be49-41f07234cfff","Title":"Prerequisites","Description":"EC5274/EC5333/ECA5333","Order":2},{"ID":"4e5f053b-8835-4692-be49-41f07234cfff","Title":"Schedule","Description":"Part 1: Introduction
\n1.    Review of Financial Time Series and their characteristics
\n 
\nBrooks (Chapter 1)
\nTsay (Chapter 1)
\n 
\n2.    Ordinary Least Square and Factor Models
\n 
\nBrooks (Chapter 2, 3, 4)
\nFama and French “Common Risk Factors in the returns on stocks and bonds”, Journal of Financial Economics 33 (1), 3-56”
\n 
\nPart 2: Linear Univariate Time Series
\n3.    Stationary Time Series
\n 
\nBrooks (Chapter 5)
\nTsay (Chapter 2)
\n 
\n4.    Non-Stationary Time Series
\n 
\nBrooks (Chapter 7)
\nTsay (Chapter 2)
\n 
\nProblem Set 1
\n 
\nPart 3: Non-Linear Univariate Time Series
\n5.    Switching Model
\n 
\nBrooks (Chapter 9)
\n 
\n6.    Modeling Volatility – GARCH Models
\n 
\nBrooks (Chapter 8)
\nTsay (Chapter 3)
\n 
\nEngle (2001) “GARCH 101: The use of ARCH/GARCH Models in Applied Econometrics”, Journal of Econometrics Perspectives 15 (4)
\n 
\nProblem Set 2
\n 
\nPart 4: Portfolio Management
\n7.    Value at Risk
\n 
\nJorion (Chapter 4, 5, 6)
\n 
\nPart 5: Multi-variate Time Series
\n8.    Vector Auto-regression Models
\n 
\nBrooks (Chapter 6)
\nTsay (Chapter 8)
\n 
\nProblem Set 3
\n 
\n9.    Co-integration
\n 
\nBrooks (Chapter 7)
\nTsay (Chapter 8)
\n 
\n10.  Multi-variate Volatility – Multivariate GARCH Models
\n 
\nBrooks (Chapter 8)
\nTsay (Chapter 10)
\nSilvennoinen, A., and Terasvirta, T. (2009). Multivariate GARCH models, in T.G. Andersen, R.A. Davis, J.P. Kreiss, and T. Mikosch (eds.), Handbook of Financial Time Series, Springer.
\n 
\nProblem Set 4
\n 
\nPart 5: Conclusion
\n11.  Group Presentation
\n 
\n12.  Summary and Review
\n 
\nProblem Set 5
\n 
\n 
\n
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\n20% - Individual Assignment
\n20% - Group Presentation 
\n50% - Final Exams 
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Workload Components : A-B-C-D-E \r\n
A: no. of lecture hours per week \r\n
B: no. of tutorial hours per week \r\n
C: no. of lab hours per week \r\n
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