Introduction to Econometrics for Finance

COURSE DESCRIPTION:

Overview

The past twenty years have seen extraordinary growth in the use of quantitative methods
in financial markets. Finance professionals now routinely use sophisticated techniques in
portfolio management, proprietary trading and risk management. In India, research based
organizations like GE Capital, American Express, SAS etc are always on look out for
candidates with an understanding of modeling techniques. Good knowledge of finance
coupled with training in financial models and econometrics is considered a definite bonus
in the job market.

Course Objective

The intended audiences are the MBA students who require a broad knowledge of modern
econometric techniques commonly employed in the finance literature. This course would
be of interest to students who are looking for a career in the Analytics division of an
MNC.
Additionally, this course has been designed with to give students hands-on experience in
two econometric packages – EViews & SAS Forecasting Module. The assignments and
projects focus on the application of the techniques on core financial topics.

Learning Outcomes

This course enables students to model financial data efficiently for forecasting purposes
which will be of immense interest to those entering the finance profession especially on
the research side. On completing the course, students will have:
􀀻 Learned the basic econometric tools & techniques relevant for financial modelling
􀀻 Acquired an ability to model financial data independently
􀀻 Developed an aptitude for dealing with forecasting models

Pedagogy

The course will be delivered through a mix of lectures and tutorials (lab sessions).
Learning is expected to happen through assignments and project. Peer group interaction
is also a critical aspect in this course.

Pre-requisites for this Course

􀂙 Mathematics
􀀹 Matrix Algebra
􀀹 Calculus – Differentiation & Integration
􀂙 Statistics
􀀹 Probability theory
􀀹 Introductory Bayesian Analysis
􀀹 Multivariate Analysis
􀀹 ANOVA
􀂙 Finance
􀀹 Cost of Capital
􀀹 Mean-Variance Portfolio Theory
􀀹 Capital Asset Pricing Model (CAPM)
􀀹 Arbitrage Pricing Theory (APT)
􀀹 Market Efficiency (EMH)
􀀹 Option Pricing Theory
􀀹 Term Structure of Interest Rates
􀀹 Yield Curve Analysis
􀀹 Performance Evaluation of Mutual Funds
􀂙 International Financial Management
􀀹 Exchange Rate Concepts
􀂙 Proficiency with functions and macros in MS Excel
􀂙 Understanding of MS Access (or any RDBMS) & VB (preferably)

MODULE – ONE

Concepts in Finance – An Overview of Recent Developments (3 sessions)
1. Asset Pricing Models
2. Term Structure of Interest Rates
3. Performance Evaluation of Mutual Funds
4. Exchange Rate Forecasting

MODULE – TWO
Overview of CLRM (7 sessions)
1. Introduction to Econometrics, Financial Economics and Financial Econometrics
2. Types of Data
3. Classical Linear Regression Model – Assumptions, Estimation & Inference
4. Implications of Multicollinearity, Heteroskedasticity and Autocorrelation
5. Regression with Categorical / Qualitative Variables

MODULE – TWO
Basic Concepts (6 sessions)
1. Components of a Time Series
2. Deterministic and Stochastic Trends
3. Random Walk Models
4. Stationarity & Unit Root Testing
5. Cointegration – Applications in finance

MODULE – THREE
Univariate Time Series Analysis (5 sessions)
1. Autoregressive processes
2. Moving Average processes
3. ACF & PACF
4. Building ARIMA models – Box Jenkins Methodology

MODULE – FOUR
Multivariate Time Series Analysis (9 sessions)
1. Granger Causality
2. VAR – Vector Auto Regression
3. Modelling Lead-lag relationship
4. Introduction to Volatility Modelling using ARCH / GARCH

MODULE – FIVE
Panel Data Econometrics (3 sessions)
1. Difference between Pooled regression and Panel data regression
2. Issues with Panel Data
3. The Fixed Effects Model
4. The Random Effects Model

India Course Dates, Venue & Timings:

Sl.No. State City Batch1-Date Batch1-Date Batch2-Date Batch2-Date Batch3-Date Batch3-Date Batch4-Date Batch4-Date Venue Contact
1 Telangana Hyderabad 1-Sept’15 2-Sept’15 1-Oct’15 2-Oct’15 1-Nov’15 2-Nov’15 1-Dec’15 2-Dec’15 SPECTRAMIND , Flat 617, 6th Floor ,Annapurna block, Aditya enclave, Ameerpet, Hyderabad-500016 Jason
2 Karnataka Bangalore 5-Sept’15 6-Sept’15 3-Oct’15 4-Oct’15 7-Nov’15 8-Nov’15 5-Dec’15 6-Dec’15 SPECTRAMIND,DBS center , Cunningham road , Bangalore Namratha
3 Tamilnadu Chennai 12-Sept’15 13-Sept’15 10-Oct’15 11-Oct’15 14-Nov’15 15-Nov’15 12-Dec’15 13-Dec’15 SPECTRAMIND,CHENNAI, CitiCentre , Level 6, 10/11 Dr.Radhakrishna Salai,Chennai,Tamil Nadu,600 004,India Mr.yogadasan
4 Maharashtra Mumbai 19-Sept’15 20-Sept’15 17-Oct’15 18-Oct’15 21-Nov’15 22-Nov’15 19-Dec’15 20-Dec’15 SPECTRAMIND,DBS Heritage,Prescot Road,Opp. Cathedral Sr. School,Fort, Mumbai 400001. DBS Heritage (From Airport instruct the car / cab driver to drive to Fort, FashionStreet. It’s near Siddharth College, Budha Bhavan. Also there are schools like J. P. Pettit School & Cathedral Sr. School Mr.Vasudev
5 Maharashtra Pune 29-Sept’15 30-Sept’15 30-Oct’15 31-Oct’15 29-Nov’15 30-Nov’15 30-Dec’15 31-Dec’15 SPECTRAMIND,Panchasheel tech park,Yerwada, Pune Mr.Manish
6 Delhi Delhi 5-Sept’15 6-Sept’15 24-Oct’15 25-Oct’15 28-Nov’15 29-Nov’15 26-Dec’15 27-Dec’15 SPECTRAMIND,Paharpur Business Centre, 21, Nehru Place Greens, New Delhi - 110019 Rama Gopal :
7 Haryana Gurgaon 5-Sept’15 6-Sept’15 24-Oct’15 25-Oct’15 28-Nov’15 29-Nov’15 26-Dec’15 27-Dec’15 Gurgaon - SpectraMind, Level 9, Spaze i-Tech Park, A1 Tower, Sector - 49, Sohna Road, Gurgaon, 122018 Rama Gopal :
8 UP Noida 5-Sept’15 6-Sept’15 24-Oct’15 25-Oct’15 28-Nov’15 29-Nov’15 26-Dec’15 27-Dec’15 Noida - SpectraMind, Tapasya Corp Heights, Ground Floor, Sector 126, Uttar Pradesh, Noida Rama Gopal :
9 Haryana Chandigarh 1-Sept’15 2-Sept’15 1-Oct’15 2-Oct’15 1-Nov’15 2-Nov’15 1-Dec’15 2-Dec’15 Chandigarh - SpectraMind, Level 4, Tower-A, Godrej Eternia, plot number 70, Industrial Area 1, Haryana, Chandigarh Kavita
10 Westbengal Kolkata 1-Sept’15 2-Sept’15 1-Oct’15 2-Oct’15 1-Nov’15 2-Nov’15 1-Dec’15 2-Dec’15 SpectraMind , The Legacy, 1st Floor, 25-A, Shakespeare Sarani, Kolkata, 700017 Mr.Hamid :
11 Andhra Pradesh Vizac/ Vishakhapatnam 1-Sept’15 2-Sept’15 1-Oct’15 2-Oct’15 1-Nov’15 2-Nov’15 1-Dec’15 2-Dec’15 Vizac- SpectraMind , Naga Chambers, Level 3 & 4, D/No. 12-1-16 Plot No. 49, Survey No 1051, Opposite HDFC bank, Waltair Main Road, Visakhapatanam, 530002 Vijay -94400 89341
12 Andhra Pradesh Vijayawada 1-Sept’15 2-Sept’15 1-Oct’15 2-Oct’15 1-Nov’15 2-Nov’15 1-Dec’15 2-Dec’15 Vijayawada- SpectraMind , DBS center Vijay -94400 89341
13 Bihar Patna 1-Sept’15 2-Sept’15 1-Oct’15 2-Oct’15 1-Nov’15 2-Nov’15 1-Dec’15 2-Dec’15 DBS Center, Patna Jason
14 Chhattisgarh Raipur 1-Sept’15 2-Sept’15 1-Oct’15 2-Oct’15 1-Nov’15 2-Nov’15 1-Dec’15 2-Dec’15 DBS center ,Raipur Jason
15 Gujarat Ahmedabad 1-Sept’15 2-Sept’15 1-Oct’15 2-Oct’15 1-Nov15 2-Nov’15 1-Dec’15 2-Dec’15 Ahmedabad - SpectraMind, 101 – 104, GCP Business Centre, Opp. Memnagar Fire Station, Vijay Cross Road, Memnagar, Ahmedabad, 380014 Mr.Alok
16 Karnataka Mysore 1-Sept’15 2-Sept’15 1-Oct’15 2-Oct’15 1-Nov15 2-Nov’15 1-Dec’15 2-Dec’15 DBS center , Mysore Namratha
17 Karnataka Hubli 1-Sept’15 2-Sept’15 1-Oct’15 2-Oct’15 1-Nov’15 2-ov’15 1-Dec’15 2-Dec’15 DBS center , Hubli Namratha
18 Kerala Cochin 1-Sept’15 2-Sept’15 1-Oct’15 2-Oct’15 1-Nov’15 2-ov’15 1-Dec’15 2-Dec’15 SPECTRAMIND,ThomasMount ,ICTA Building,Changampuzha Nagar P.O.,Cochin- 682033 Mr.Manoj: 9995881093
19 Kerala Trivandrum 1-Sept’15 2-Sept’15 1-Oct’15 2-Oct’15 1-Nov15 2-Nov’15 1-Dec’15 2-Dec’15 Hotel Classic Avenue, Thampanoor, Trivandrum, Kerala. Mr.Manoj
20 Madhya Pradesh Indore 1-Sept’15 2-Sept’15 1-Oct’15 2-Oct’15 1-Nov’15 2-Nov’15 1-Dec’15 2-Dec’15 Indore – SpectraMind , DNR 90, Unit Nos. 301, 3rd floor, 569/3, MG Road, Indore, 452003 Arun :9755598333
21 Orissa Bhubaneshwar 1-Sept’15 2-Sept’15 1-Oct’15 2-Oct’15 1-Nov’15 2-Nov’15 1-Dec’15 2-Dec’15 Vani Vihar, Bhubaneshwar Mr. Satya Deep : 95811 98770
22 Rajasthan Jaipur 1-Sept’15 2-Sept’15 1-Oct’15 2-Oct’15 1-Nov’15 2-Nov’15 1-Dec’15 2-Dec’15 DBS center,Jaipur Mr.Manish
23 Tamilnadu Coimbatore 1-Sept’15 2-Sept’15 1-Oct’15 2-Oct’15 1-Nov’15 2-Nov’15 1-Dec’15 2-Dec’15 Coimbatore , SpectraMind ‘Srivari Srimath”, 3rd floor, Door No.1045,Avinashi Road, Coimbatore, 641 018 Mr.Balaji
24 Uttar Pradesh Lucknow 1-Sept’15 2-Sept’15 1-Oct’15 2-Oct’15 1-Nov’15 2-Nov’15 1-Dec’15 2-Dec’15 Lucknow – SpectraMind , 4th Floor, Halwasiya Court, Hazratganj, Uttar Pradesh, Lucknow, 226001 Mr.Sandeep
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