econ 4140
York University
Faculty of Liberal Arts & Professional Studies
Department of Economics
Fall 2014
Course Outline
Course # and Title: AP/ECON 4140 3.0A Financial Econometrics
Course Webpage: http://www.yorku.ca/rsufana/teaching.htm Course Instructor/Contact:
Name: Prof. Razvan Sufana
Office: VH 1030
Phone: 416-736-2100 Ext. 66065
Office Hours: Tuesday 2 – 3 PM, Thursday 2:45 – 3:45 PM
Email: rsufana@yorku.ca (Please include course number in subject line)
LectureTime and Location: Thursday 11:30 – 2:30 PM, ACE 002
Prerequisite: AP/ECON 3210 3.00 or AP/ECON 3500 3.00 or equivalent.
Course Credit Exclusions: None.
PRIOR TO FALL 2009: Course credit exclusion: AK/ECON 4130 3.00.
Course Description:
This course is an introduction to financial econometrics. Background knowledge of finance is not required. The objective of the course is to explain, in simple terms, the use of selected statistical methods and econometric models in finance. The content of the course includes simple static and dynamic models of financial returns, elements of portfolio theory, the CAPM regression model, elements of option pricing, the Value-at-Risk (VaR), and the ARCH model.
Weighting of Course:
Assignment 1 (12.5% of final grade): available October 2, due at beginning of class on October 9
Midterm Exam (30% of final grade): October 16
Assignment 2 (12.5% of final grade): available November 20, due at beginning of class on November 27
Final Exam (45% of final grade): scheduled in the final exam period
The midterm exam will cover material presented up to and including the class before the midterm, while the final exam will cover material from the entire course.
Missed tests/exams:
Students who miss the midterm exam (or an assignment) and provide valid documentation (for example, medical notes) will have the entire weight transferred to the final exam, otherwise a grade of zero will be recorded for the midterm exam (or
Faculty of Liberal Arts & Professional Studies
Department of Economics
Fall 2014
Course Outline
Course # and Title: AP/ECON 4140 3.0A Financial Econometrics
Course Webpage: http://www.yorku.ca/rsufana/teaching.htm Course Instructor/Contact:
Name: Prof. Razvan Sufana
Office: VH 1030
Phone: 416-736-2100 Ext. 66065
Office Hours: Tuesday 2 – 3 PM, Thursday 2:45 – 3:45 PM
Email: rsufana@yorku.ca (Please include course number in subject line)
LectureTime and Location: Thursday 11:30 – 2:30 PM, ACE 002
Prerequisite: AP/ECON 3210 3.00 or AP/ECON 3500 3.00 or equivalent.
Course Credit Exclusions: None.
PRIOR TO FALL 2009: Course credit exclusion: AK/ECON 4130 3.00.
Course Description:
This course is an introduction to financial econometrics. Background knowledge of finance is not required. The objective of the course is to explain, in simple terms, the use of selected statistical methods and econometric models in finance. The content of the course includes simple static and dynamic models of financial returns, elements of portfolio theory, the CAPM regression model, elements of option pricing, the Value-at-Risk (VaR), and the ARCH model.
Weighting of Course:
Assignment 1 (12.5% of final grade): available October 2, due at beginning of class on October 9
Midterm Exam (30% of final grade): October 16
Assignment 2 (12.5% of final grade): available November 20, due at beginning of class on November 27
Final Exam (45% of final grade): scheduled in the final exam period
The midterm exam will cover material presented up to and including the class before the midterm, while the final exam will cover material from the entire course.
Missed tests/exams:
Students who miss the midterm exam (or an assignment) and provide valid documentation (for example, medical notes) will have the entire weight transferred to the final exam, otherwise a grade of zero will be recorded for the midterm exam (or