'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
- D. C. Porter, D. N. Gujarati, S. Gunasekar, “Basic Econometrics”, 5th Edition, McGraw Hill Education (India) Pvt. Ltd., 2011
REFERENCES
- J. M. Wooldridge “Introductory Econometrics: A modern Approach”, Second Edition South western college publishing, Thomson learning. 2003
- Philip Hans Franses “A concise introduction to Econometrics,” Cambridge University Press 2002.
- Paul Soderlid. “Lecture notes in Financial Econometrics”, University of St. Gallen, Switzerland 2009.
