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Course Detail

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


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

Text Books

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


  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.

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