FULLY SOLVED BOOK LASY 5 YEARS PAPERS SOLVED PLUS GUESS

Financial Econometrics

Unit I
Financial Econometrics: Meaning, Nature, scope and methodology of Financial Econometrics, Types
of Data, Returns in financial modelling, process of formulation of econometric model. Simple Linear
Regression Model: Assumptions, Procedures and properties of OLS estimator, Co-efficient of
determination, Tests of significance, Maximum Likelihood Method; Multiple Linear Regression
Analysis: Method of least squares, Properties of OLS estimator, Test of significance of regression
coefficient, R2 and adjusted R2. (12 Hours)
Unit II
Issues with Classical Regression Model: Multicollinearity, Autocorrelation and Heteroskedasticity;
Functional forms; Dummy variables-Nature and uses. Stationary Time Series Models: Stochastic
process, Stationary, Modeling AR, MA, ARMA processes, Deterministic and stochastic trends, unit
roots, testing unit roots – Dickey & Fuller, Phillips and Perron tests.
(10 Hours)
Unit III
Modelling Volatility – Conditional Heteroscedastic Models: ARCH Models, GARCH Models,
Estimation of GARCH Models, Forecasting with GARCH Model, Asymmetric GARCH Models, The
GARCH-in-Mean Model, Volatility and Correlation: The VECH Model, The Diagonal VECH Model,
The BEKK Model, The Constant Correlation Model, the Dynamic Correlation Model. Vector
Autoregressive Models: Issues in VAR, Hypothesis Testing in VAR
(10 Hours)
Unit IV
Advanced Topics in Regression Analysis Selected Topics: Dynamic Econometric Models: distributed
lag models; autoregressive models; instrumental variable estimation; simultaneous equation models.
Panel Data Models Methods of estimation; fixed effects model; random effects model