ORF 504/Fin 504:  Financial Econometrics

Spring Semester, 2008
MW 9:30 - 10:50 in Bendheim Center 103
Home page: http://orfe.princeton.edu/~jqfan/
General Information
Text Book
Syllabus
Grading
Splus Examples
Datasets





  

 

Instructor. Jianqing Fan, Frederick L. Moore'18 Professor of Finance. Office: 102 BCF E-quad. Phone: 258-7924. E-mail: jqfan@princeton.edu

Office Hours: Monday: 1:00--2:00 pm, Wednesday 11:00am -- 12:00pm, or by appointments.

Precept: Arrange occasionally by the AI

Assistants in Instruction (AIs):

  • Lei Qi, lqi@Princeton.EDU, 609-258-8787. Office:  222 Sherred Hall.    Office Hours:  Thursday,  3:00-5:00pm
  • Statistics Lab, 609-258-9433


 

Text and Reference Books:

  • J.Y. Campbell, A.W. Lo and A.C. MacKinlay (1997): The Econometrics of Financial Markets, Princeton University Press
  • Fan, J. and Yao, Q. (2003). Nonlinear Time Series: Parametric and Nonparametric Methods. Springer.
  • C. Gourieroux and J. Jasiak (2001): Financial Econometrics: Problems, Models, and Methods, Princeton University Press
  • Tsay, R.S. (2002). Analysis of Financial Time Series, John Wiley & Sons.


Syllabus: Course material will be covered the following topics (in order):

  • An overview of statistical methods
  • Asset returns and linear time series
  • Discrete time volatility models
  • Efficient portolios and CAPM
  • Multifactor pricing models
  • Intertemporal equilibrium models
  • Present value models
  • Simulation methods for financial derivatives
  • Statistical inferences and econometrics of derivatives
  • Forecast and management of market risks
  • Multivariate time series and volatility*
  • Nonparametric methods in financial econometrics*

Computation: 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 S-plus.

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.

 

Homework: Problems will be assigned at class meetings. No late homework will be accepted. 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.


Exams: 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:
Homework (25%) ....................................................................... Various due dates
Midterm Exam (25%) .................................................................. Friday, March 27, 2009 (tentative)
FINAL EXAM (50%) .................................................................. Wednesday, May 13, 2008 (tentative).

 

Lecture Notes 1-2:

S-Plus labs: The following files intend to help you familiar with the use of S-Plus commands.
 

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