| Course Name | Econometrics |
| Course Code | 15ECE377 |
| Program | B. Tech. in Electronics and Communication Engineering |
| Year Taught | 2019 |
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
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.
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
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