

ORF 504/Fin 504: Financial Econometrics Spring Semester, 2017



Instructor. Jianqing Fan,
Frederick L. Moore'18 Professor of Finance. Office: 102 BCF and 205
Sherred Hall. Phone:
2587924. Email: jqfan@princeton.edu Precept: Arranged periodically by the AI Assistants in Instruction (AIs):
Text Book:
Lectures are primarily based on the lecture notes and text book, with the following two reference books. Reference Books:
Computation: The software package for this class is R. See Rlabs below. All computation for this class can be done on a laptop. Laptops with wireless communications off will be allowed during the exams. 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. In addition,
we will conduct random quizzes to check your understanding and attendance.
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.
R
labs: The following files intend to help you familiar
with the use of Rlab commands.
Monthly DATA SETS


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