Financial Time Series Analysis and Econometrics II

Exam results as of May 20, 2009 (usr name and psswd needed, same as in the sample exam)

Code: STAT.3050

Level: Advanced/Doctoral (Joint course: University of Vaasa and Hanken, Vaasa)

Requirements for the credit units: Exam. Options are to take two part exams or the final exam. Altogether you have at maximum three attempts to pass the exam (the two part exams are accounted as one). Minimum 50% of the maximum must be obtained for passing the exam (applies also to each part exam). The grading is: failed (0--49), 1 (50--59), 2 (60--69), 3 (70--79), 4 (80--89), 5 (90--100).

Teachers: Professor Seppo Pynnönen and professor Johan Knif (Hanken)

Teaching: Classes 36 h, Demonstrations 16h (include two mid term exams) (teaching and exams in English)

Period: March 5 through April 25, 2009

Schedule:

Lectures:	For a detailed schedule, see:	Wombat
Wednesdays	March 11 -- April 15, 2009	9 -- 12	Room D102 (UV)	Wed Apr 8, Room D115
Fridays	March 13 -- April 17, 2009	9 -- 12	Room D103 (UV)	No classes on Apr 10, 2009 (Easter break)
Monday	April 6, 2009	9--12	Room D115 (UV)

Exercises:
Mondays	March 16 -- April 27, 2009	14 -- 16	Room D023 (UV)

Exams:
Mid term Exam I	Tue April 7, 2009	12:00--14:00	B201	No registration needed	Covers Ch 1 and 2 and Exercises 1--3
Mid term Exam II	Tue April 28, 2009	12:00--14:00	D103	No registration needed
Final exam	Fri May 15, 2009	12:00--15:00 (UV)		Registration (WebOodi)
Final exam (retake)	Sat September 5, 2009	12:00--15:00 (UV)		Registration (WebOodi)

Sample Exam (usr name and psswd needed)

Hanken = Swedish School of Economics (Vaasa), UV = University of Vaasa, Tritonia = Library building

Course objective: The course is continuation to Financial Time Series Analysis and Econometrics I. The goal is to introduce student in modern econometric and time series tools for analyzing and modeling of quantitative financial information. Use of modern computer software like EViews in empirical analysis.

Contents:

1. Univariate Volatility Modeling
   1. Background
   2. Conditional heteroscedasticity
   3. Regime switching models
      • EViews prg code for Example 1.9 (Open with EView and run with appropriate series)
      • EViews Data file for Example 1.9
      • Text version of the EViews prg object code
2. Multivariate Econometric and Time Series Modeling
   1. Background
   2. Vectror Autoregression (VAR)
      • R: VAR estimation (VAR is in 'vars' package)
   3. Exogeneity and causality
   4. Measures of linear dependence
   5. Impulse response analysis
3. Cointegration
   1. Definition
   2. Testing for cointegration
   3. Properties of cointegrated series
   4. Trend and intercept
   5. Tesing hypotheses
   6. Residual analysis
   7. Short run dynamics
   8. Cointegration and common trends
4. Generalized Method of Moments
5. Introduction to Coupas

Eviews Examples (EViews 5.1 files: You need to download these on your own computer and run by EViews 5.1)

• Granger block causality (EViews) Results (Excel)
• Nordic stock indices cointegration (EViews file)

• US Macroeconomic Data, Source: William H. Greene (2008). Econometric Analysis, 6th ed, Data table F5.1

Course literature:

• Hamilton, J.D. (1994). Time Series Analysis, Princeton University Press, New Jersey.
• Mills, T.C. (2008). The Econometric Modelling of Financial Time Series, Third Edition, Cambridge University Press, New York.
• Lutkepohl, Helmut (2005). New Introduction to Multiple Time Series Analysis. Springer, Heidelberg.

• Courieoux, Christian and Joann Jasiak (2001). Financial Econometrics, Princeton University Press.
• Tsay, Ruey, S. (2002). Analysis of Financial Time Series, Wiley.
• Alexander, Carol (2008). Practical Financial Econometrics. Wiley.
• Enders, Walter (1995). Applied Econometric Time Series: A Users Guide. Wiley.

• Cochrane, John (2001). Asset Pricing. Princeton University Press.

Copulas

• Cherubini, Umberto, Elisa Liciano, and Walter Vecchiato (2004). Copula Methods in Finance. Wiley

• Hendy, David F. and Katarina Juselius (2000). Explaining cointegration analysis: Part 1, The Energy Journal, 21, No 1, 1--42
• Hendy, David F. and Katarina Juselius (2001). Explaining cointegration analysis: Part II, The Energy Journal, 22, No 1, 75--120.

Statistical Software Packages:

• Eviews
• R
• SAS

Exercises:

• Exercises 1 (pdf)
• Exercises 2 (pdf)
• Exercises 3 (pdf)
• Exercises 4 (pdf) (data Excel file) (US bond rates Excel file)
• Exercises 5 (pdf)
• Exercises 6 (pdf)

Notes: See also Computational Finance.