Instructor. Jianqing Fan,
Frederick L. Moore'18 Professor of Finance. Office: 102 BCF and 106
Sherred Hall. Phone:
258-7924. E-mail: firstname.lastname@example.org
Office Hours: Monday:
3:00pm--4:00 pm, Wednesday 4:00pm -- 5:00pm at 102 BCF, or by appointments.
Arranged periodically by the AI
Assistants in Instruction
Xiaofeng Shi email@example.com, 258-4660, Office: 220 Sherred Hall
Tuesday, 3:00--4:00pm and Thursday, 3:00-4:00pm
- Financial Econometric Lab, 222 Sherred Hall, 258-9433,
213 Sherred Hall, 258-8787
Text and Reference Books:
Lectures are primarily based on the lecture
notes with the following references.
- J.Y. Campbell, A.W. Lo and A.C. MacKinlay
(1997): The Econometrics of Financial Markets, Princeton University
- 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 S-PLUS (2nd ed.), Springer, New York.
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
- Efficient portolios and CAPM
- Multifactor pricing models
- Portfolio allocation and risk assessment
- Intertemporal equilibrium models
- Present value models
- Simulation methods for financial derivatives
- Econometrics of continuous time
- Forecast and management of market risks*
- Multivariate time series and volatility*
- Nonparametric methods in financial econometrics*
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.
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.
Problems will be assigned at class meetings. No late
homework will be accepted (120 Sherred Hall has an In-Out 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.
There will be one in-class midterm exam, and a final
exam. All exams are required and there will be no make-up exams. Missed
exams will receive a grade of zero. All exams are open-book and
open-notes. Calculators may be used during the exams.
Schedules and Grading Policy:
............................................................ Various due dates (5 sets)
Midterm Exam (23%) ........................................ Thursday, March 27, 2014
Final Exam (47%) ............................................. Thursday, May 15, 2014 (9:00am--12:00pm).
Lecture Notes 1
labs: The following files intend to help you familiar
with the use of R-lab commands.
Here are some useful materials too.
An Introduction to R, by
W. N. Venables, D. M. Smith and the R Core Team.
U-Tube video: An introduction to R