


Instructor. Jianqing Fan,
Frederick L. Moore'18 Professor of Finance. Office: 102 BCF and 106
Sherred Hall. Phone:
2587924. Email: jqfan@princeton.edu
Office Hours: Monday:
3:00pm4:00 pm, Wednesday 4:00pm  5:00pm at 102 BCF, or by appointments.
Precept:
Arranged periodically by the AI
Assistants in Instruction
(AIs):

Weichen Wang weichenw@princeton.edu, 2584660, Office: 220 Sherred Hall
Office Hours:
Tuesday, 3:004:00pm and Thursday, 3:004:00pm
 Financial Econometric Lab, 222 Sherred Hall, 2589433,
Statistics Lab,
213 Sherred Hall, 2588787
Text Book:
J. Fan and Q. Yao
(2015). The Elements of Financial Econometrics, Scientific
Press.
Lectures are primarily based on the lecture
notes and text book with the following references.
Reference Books:
 J.Y. Campbell, A.W. Lo and A.C. MacKinlay
(1997): The Econometrics of Financial Markets, Princeton University
Press
 Fan, J. and Yao, Q. (2003). Nonlinear Time
Series: Parametric and Nonparametric Methods. Springer.
 Tsay, R.S. (2010). Analysis of Financial
Time Series (Third edition), John Wiley & Sons.
 Zivot, E. and Wang, J. (2006).
Modeling Financial Time Series with SPLUS (2nd ed.), Springer, New York.
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*
 Efficient portolios and CAPM
 Multifactor pricing models
 Portfolio allocation and risk assessment
 Comsumptionbased CAPM
 Present value models
 Simulation methods for financial derivatives
 Econometrics of continuous time
finance
 Forecast and management of market risks*
 Nonparametric methods in financial econometrics*
Computation:
It will be very useful to have a pocket calculator. The calculators will be used during
the exams. The software package for this class is R. See Rlabs below
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.
Homework:
Problems will be assigned at class meetings. No late
homework will be accepted (120 Sherred Hall has an InOut 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 inclass midterm exam, and a final
exam. All exams are required and there will be no makeup exams. Missed
exams will receive a grade of zero. All exams are openbook and
opennotes. Calculators may be used during the exams.
Schedules and Grading Policy:
Homework (30%)
............................................................ Various due dates (5 sets)
Midterm Exam (23%) ........................................ Wednesday, March 25, 2015 (9:3010:50am)
Final Exam (47%) ............................................. Thursday, May 14, 2015 (9:00am12:00pm).
Lecture Notes 1
R
labs: The following files intend to help you familiar
with the use of Rlab commands. Here are some useful materials too.
An Introduction to R, by
W. N. Venables, D. M. Smith and the R Core Team.
UTube video: An introduction to R

