Brief Course Description
1. Course Title:
Econometrics for Finance
2. Language of Instruction:
Tiếng Anh
3. Course Code:
FIN505045
4. Credits:
3
5. Course Objectives:
This course aims to equip learners with advanced quantitative analysis knowledge in finance, including event analysis using panel data regression, nonlinear time series analysis, volatility modelling in time series analysis, and forecasting.
6. Brief Description of Course Content:
This course is designed to enhance students’ knowledge of econometrics, and they should be able to demonstrate an understanding of how to apply quantitative methods in various models in finance, especially the analysis technique of time series. Besides providing students with various advanced estimation techniques to deal with endogeneity problems using panel data, sample selection bias, and event study… the subject also introduces students to the knowledge of modelling volatility for time series in finance as well as estimation techniques of non-linear time series regression, Markov switching models, applying nonlinear time series analysis to financial research.
The unit also aims to equip students with quantitative techniques for real-world financial decision-making. In addition to the advanced knowledge of Econometrics, this course provides students with practical analysis skills using real-time financial data for pricing financial assets and forecasting financial variables in investments, corporate finance, international finance, and risk management. The various econometric models studied and discussed in this course have numerous applications in economics, finance and related areas, whether in business or academic research.