COURSE SUMMARY
Course Title: 
Econometrics
Course Code: 
15ECE377
Year Taught: 
2015
Type: 
Elective
Degree: 
Undergraduate (UG)
School: 
School of Engineering
Campus: 
Bengaluru
Chennai
Coimbatore
Amritapuri

'Econometrics' is an elective course offered for the B. Tech. (Bachelor of Technology) in Electronics and Communication Engineering at School of Engineering, Amrita Vishwa Vidyapeetham.

Unit 1

Review of statistics - Random variables – moments – Distributions – least squares – Hypothesis testing - Hetroskedacity – ACF. Index Models – Mean variance analysis – Estimating beta – Multi-index models – CAPM and multifactor models – Market model – Fama – Macbeth – Event studies – Basic structure of event studies – Normal and abnormal returns – Quantitative events

Unit 2

Time series analysis - ARMA (p,q) – Var(p) – Non-stationary processes – Predicting asset returns – Random walk – Efficient market hypothesis – Predictor methods – Security and technical analysis – Empirical evidence – Maximum likelihood estimation – Test principles – QMLE. ARCH and GARCH – Non-linear extensions – multivariate GARCH.

Unit 3

Option pricing – BS model – Estimation of volatility of a random walk model – Kernel density estimation and regression – Examples of non-parametric estimation. Risk measures – Symmetric dispersion measures – Down side risk

TEXTBOOKS

  1. D. C. Porter, D. N. Gujarati, S. Gunasekar, “Basic Econometrics”, 5th Edition, McGraw Hill Education (India) Pvt. Ltd., 2011

REFERENCES

  1. J. M. Wooldridge “Introductory Econometrics: A modern Approach”, Second Edition South western college publishing, Thomson learning. 2003
  2. Philip Hans Franses “A concise introduction to Econometrics,” Cambridge University Press 2002.
  3. Paul Soderlid. “Lecture notes in Financial Econometrics”, University of St. Gallen, Switzerland 2009.