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1、Syllabus of Financial EconometricsCourse Name： Financial EconometricsCourse Code：Credits： 3Total Credit Hours： 48Lecture Hours： 48Experiment Hours：Programming Hours：Practice Hours：Total Number of Experimental (Programming) Projects,Where, Compulsory (), Optional ().School： 08 School of BusinessesTar
2、get Major： FinanceI、Course Nature & AimsFinancial econometrics is an important course of finance, which lays the methodological foundation of quantitative analysis and empirical research for the following professional courses and professional elective courses. The main contents can be divided into t
3、hree parts: the first part is the basis of financial metrology, which mainly includes the univariate linear regression model, multivariate linear regression modcL regression model after relaxing (he basic assumptions, virtual variable model nonlinear model, etc.; the second part is the financial tim
4、e series model, which mainly includes unit root test, autoregressive moving average (ARMA) model. Co The third part is the application of financial econometrics. It mainly introduces the domestic scholars research on the three problems of EMH, CAPM and GARCH.Through the study of this course, student
5、s can understand the basic theories, models and methods of modern financial metrology, cultivate their ability to establish financial metrology models with the aid of econometric software on the basis of economic and financial theories, broaden their thinking of analyzing and researching real econom
6、ic and financial problems, and enhance (heir quantitative analysis and practical ability, so as to improve their ability of analyzing and doing business with China Empirical research in financial markets has laid a solid foundation.II、Course Objectives1. Moral Education and Character Cultivation.Thr
7、ough learning the theoiy and practical knowledge of financial metrology. I have a comprehensive understanding of financial metrology, especially the financial econometric analysis method based on the Chinese market situation. Through the explanation of the development process of Chinas financial eco
8、nometric analysis and related theories, we can understand the thinking angle of Chinese tmancial econometric scholars when theyLesson11co-intcgration anderrorcorrection model3Lesson12GARCH model3Case discussion and group report (GARCH model iheory and application)3Revision3Total48Sum48V、Summary of E
9、xperimental (Programming) ProjectsNo.Experiment(Programming)NameExperiment(Programming)HoursExperiment(Programming)TypeAbstractCourseTypeSupporting CourseObjectives12345Note: Fill in comprehensive, designing, verification and demonstration in the experiment type, which refers to comprehensive experi
10、ment designing experiment, verification experiment and demonstration experiment, respectively.Comprehensive experiment refers to the experiment involving the comprehensive knowledge of the course or related knowledge of (he course.Designing experiment refers to the experiment in which the students d
11、esign the experiment scheme and complete it by themselves based on the given experimental objectives and experimental conditions.Verification experimcnl refers to an experiment conducted to verify whether the knowledge or hypothesis is correct after a certain understanding of the research object is
12、achieved or a certain hypothesis is put forward.Demonstration experiment refers to the experiment perfonned by the teacher in line with the teaching content.VI、Teaching Method1. . Classroom teaching: This course is mainly taught by teachers in class, supplemented by seif-study and homework based on
13、course video malerials. The leaching process should be able to flexibly use blackboard writing and multimedia teaching, strengthen the interaction between teachers and students, and pay attention to heuristic teaching.2. Seminar Teaching: carry out appropriate seminar activities according to specifi
14、c teaching contents. The teacher provides discussion questions, and the students prepare for class in groups, and then conduct class discussion, so us to improve the students team cooperation ability.3. Heuristic teaching: for the important knowledge points, we use the ideas of putting forward probl
15、ems, analyzing problems and solving problems to teach, imperceptibly cultivate the coiTesponding ability of students; emphasize the importance of practical experience, and learn in practice.VD Course Assessment and Achievement EvaluationAssessment Methods： CheckingExamination Formats： Final essayGra
16、ding Methods： Five-degree SystemIn the training plan, the assessment method of corporate finance course is listed as examination; the specific scores are divided into three parts: homework, classroom questions and attendance, and final essay, accounting for 30%, 10% and 60% respectively, and the sco
17、re assessment method is 100%.Course Assessment Content, Assessment Format and Supporting Course ObjectivesCourseObjectives (Indices)AssessmentContent.Assessment Formats and Proportion (%)GradingClassroomQuestioningAssignmentEvaluationRoutine TestExperimentReportTermReportTermPaperMidtermExamFinalExa
18、mProportion(%)Objective 1 (Index2.2)This course is a profess 沁 nal elective course of the whole financial discipline. It is one oftheimportant coursesoffinancial econometric analysis.andalso the core courseoffinancial engineering. On the premise of ensuring ihe scicnlificity and systematization of t
19、he course teaching, the most basic and core theories of tlnancial2.57.51525metrology - least square estimation, maximum likelihood eslimaiion and Granger causality test - arc taken as the key teaching conients.Studentsarerequired (o have arelativelycomplete grasp of the basic theoretical analysis fr
20、amework and common methodsoffinancial mark” quantitative analysis and apply them to practice in.Objective 2(Index 4.3)Adhere to the combination of theory and reality, based on the operation of Chinas capital market and the basic principles of financial measurement methods, require students(o underst
21、and the complete process of financial measurement5153050analysis, analyze and discuss the practical problems faced in the operation of Chinas securities market by applying financial measurement analysis meihods. and cultivate students comprehensive ability to analyze and solve problems.Objective 3(I
22、ndex 5.2)Teach students the latest theoretical knowledge and practice of financial metrology, so that they can fully understand ihe more cutting-edge financial market prediction and analysis methods, and provide services for enterprises in financial market riskmanagement.2.57.51525Total103060100VID、
23、Course ResourcesTextbooks :Zhang Chengsi, Financial econometrics from the perspective of time series analysis, Renmin UniversityPress, 2016Bibliography :1. Zouping, Financial econometrics, Shanghai University of Finance and Economics Press, 2018Introductory Econometrics for Finance, Chris Brooks, 20
24、192. Sun Jingshui, Ma Shuqin. Econometrics. Beijing: Tsinghua University Press, 2004.3. Lu Maozu. Advanced time series econometrics. Shanghai: Shanghai Peoples publishing house, 20044. Babel, Luo, McKinley. Financial market econometrics. Trans. Zhu Pingfang, et al. Shanghai: Shanghai University of F
25、inance and Economics Press, 2003Li Zinai. Econometrics. Beijing: Higher Education Press, 20015. Zhang Xiaodong. Fundamentals of econometrics. Tianjin: Nankai University Press, 2001IX、NotesPrerequisites: Statistics, Probability Theory and Mathematical Statistics, Econometrics, Microeconomics, Macroec
26、onomics.Follow-up Courses: Financial Engineering, Fixed Income SecuritiesContents and Requirements of Students Self-study:Bilingual Teaching or Not:Requirements and Proportion of Bilingual Teaching:Discipline and Considerations of Practice Session: please fill in this part if there is practice sessi
27、on, and no practice session if there is no practice session.Notes:analyze the financial market and the mental process of overcoming obstacles, and help students to establish scientific thinking methods for analyzing the financial market and the spirit of facing challenges in their work. In addition,
28、 from the perspective of financial metrology to promote the stable and healthy development of Chinas securilies market, with the outstanding deeds of outstanding conlributors in financial metrology research as the carrier, the education of socialist core values is integrated into all aspects of the
29、whole process of financial metrology teaching, highlighting value guidance, knowledge transfer and ability training. To help students to correctly understand the laws of history, accurately grasp the basic national conditions, grasp scientific world outlook and methodology, and promote the establish
30、ment of correct world outlook and values.2 .Course ObjectivesThrough the study of this course, students qualities, skills, knowledge and abilities obtained are as follows：Objective I. This course is a professional elective course of the whole financial discipline. It is one of the imporianl courses
31、of financial econometric analysis, and also the core course of financial engineering. On the premise of ensuring the scientificity and systematization of the course teaching, the most basic and core theories of Gnancial metrology - least square estimation, maximum likelihood estimation and Granger c
32、ausality test - are taken as the key teaching contents. Students are required to have a relatively complete grasp of the basic theoretical analysis framework and common methods of financial market quantitative analysis and apply them to practice Medium. (corresponding to Lecture I, 2 and 3, supporti
33、ng graduation requirement index point 2.1)Objective 2. Adhere to the combination of theory and reality, based on the operation of Chinas capital market and the basic principles of financial measurement methods, require students to understand the complete process of financial measurement analysis, an
34、alyze and discuss the practical problems faced in the operation of Chinas securities market by applying financial measurement analysis methods, and cultivate students comprehensive ability lo analyze and solve problems, (corresponding (o Lecture 4, 5. 6, 7 and 8, supporting graduation requirement in
35、dex point 4.3)Objective 3. Teach students the latest theoretical knowledge and practice of financial metrology, so that they can fully understand the more cutting-edge financial market prediction and analysis methods, and provide services tor enterprises in financial market risk management. (coiTesp
36、onding to Lecture 9. 1(). II and 12. supporting graduation requirement index point 5.2). Supporting for Graduation RequirementsThe graduation requirements supported by course objectives are mainly reflected in the graduation requirements indices 2.1,4.3, 5.2 as follows:Supporting for Graduation Requ
37、irementsCourseGraduationIndices and Contents Suppurling for GraduationRequirementsTeachingIvel ofObjectivesRequirementsIndicesContentsTopicsSupportObjective 12. Comprehensiveknowledge and abilityIndex2.2:Understanding the concept of financial metrology and its embodiment in specific fields can analy
38、ze and process the basic data of financial market.Lecture 1,2 and 3HObjective 24. Practicalapplication abilityIndex43:Be able io use conmion financial measurement research methods to analyze and solve practical problems, and have certain scientific research ability.Lecture 4.5. 6, 7 and8MObjective 3
39、5. Application ability of financial analysis toolsIndex5.2:Proficient in using modern financial measurement technology and data processing methods for professional data processing, design model and analysis.Lecture 9,10, 11 and12H山、Basic Course ContentThis course is divided into 12 lectures, with a
40、total of 48 class hours. Specifically speaking: the first lecture introduces the main research contents, research methods and basic concepts of financial metrology： the second and third lectures leach the contents of financial measuremenl software and difference equation, including Eviews, Stala and
41、 other commonly used measurement and analysis software as well as the【heory and analysis methods of difference equation and lag operation; the fourth and fifth lectures are based on the understanding of the concept of difference equation Scries autoregressive models (AR and ARMA) arc explained; Lect
42、ure 6: how to predict financial time series based on financial time series analysis; Lecture 7: analysis theory and method of non-stationary time series; Lecture 8 and 9: stationary time series test method and vector autoregressive model based on unit root test; Lecture 10: structure vector The theo
43、ry of autoregressive model enables students to master the more cutting-edge financial econometric analysis theory, and to use these theoretical knowledge to conduct a more detailed and in-depth analysis of the financial market time series; Lecture 11 is to expand the content, introduce the basic con
44、cepts in the signal theoiy such as co integration, and explain the new knowledge points of econometric analysis; lecture 12 is the introduction of GARCH motlel. Students can understand the theoretical basis and specific methods of Volatility Prediction through learning.Lecture 1 preliminary financia
45、l Metrology (supporting course objectives I)scope of financial metrology.1.1 financial time series data.1.2 basic concepts in financial econometric analysis.Teaching Requirements: Starting from the category of financial econometrics, this paper introduces the fine distinction and connection between
46、financial model and financial econometric model, and takes financial time series data as an example to introduce the basic concepts often involved in financial econometric analysis. Finally, this chapter introduces the financial measurement software commonly used in financial measurement analysis, i
47、n order to make readers grasp the ability of applying theory to deal with practical problems faster.Key Points： The basic contents, objectives and theoretical development of financial metrologyDifficult Points： How to briefly introduce the relevant knowledge points in the introduction classLecture 2 and 3 Introduction of financial measurement software and difference equation, lag operation and dynamic model (supporting course objectives I)introduction to Eviews and Stata2.1 first order difference equationDynamic Multiplier and impulse response function