Syllabus for Financial Econometrics (FINA 4397/FINA 7354)

Textbook
Required: Introductory Econometrics for Finance, 4th edition or later, by Chris Brooks. Cambridge University, 2019. The 4th Edition of the textbook has just been published. You can use the 3rd Edition of the textbook (2014) instead.
Required: FINA 4397 Lecture Notes Download Lecture Notes (version 2023)
Recommended: There is an R Guide for Introductory Econometrics for Finance, written by Chris Brooks. You can download it here (pdf format). It's also available for free through Amazon (kindle format).
Recommended:Introduction to R (pdf format).
R Language: Download R (pdf format).


Office Hours
Tuesdays and Thursdays: 3:00-3:50 (MH 210D) or by appointment.
Telephone: 713-743-4763
FAX: 713-743-4789
email: rsusmel@uh.edu

Outline of the course
PART 1.- Characteristics of Financial Data; Review of Basic Mathematical and Statistical Tools (Brooks, Chapters 1 and 2)
PART 2.- Least Squares Estimation and Regression (Brooks, Chapters 3, 4 and 5)
PART 3.- Time Series Models (Brooks, Chapter 6)
PART 4.- Volatility Models (Brooks, Chapter 9)
PART 5.- Long-run Relationships in Finance (Brooks, Chapter 8)
PART 6.- Miscellaneous Topics – Time Permitting (Panel Data Models, Simulation Methods, Extreme Value Theory)


Exams and Grading
Final grades will be determined as a weighted average of scores on the midterms, homework, a final exam and class participation, with the following weights:

First Midterm - September 26.

20%

Secod Midterm - October 24.

20%

Final - According to UH Schedule (Dec 12 5PM-8PM). Comprehensive.

30%

Homework (September 3, Sep 14, Sep 24, Nov 30)

10%

Class Project (Due: November 5)

15%

Presentation of Project - TBA

5%

Your final letter grade will be determined according to a curve, based on your overall weighted score (press here to read how the curve is constructed).

Note: All exams are open textbook. One page (both sides) with additional notes or formulas will be allowed -no exceptions made. This page should have written your name on top of the page on both sides.


Note for Online Classes
Students may not record all or part of class, livestream all or part of class, or make/distribute screen captures, without advanced written consent of the instructor. If you have or think you may have a disability such that you need to record class-related activities, please contact the Center for Students with Disabilities. If you have an accommodation to record class-related activities, those recordings may not be shared with any other student, whether in this course or not, or with any other person or on any other platform. Classes may be recorded by the instructor. Students may use instructor’s recordings for their own studying and notetaking. Instructor’s recordings are not authorized to be shared with anyone without the prior written approval of the instructor. Failure to comply with requirements regarding recordings will result in a disciplinary referral to the Dean of Students Office and may result in disciplinary action.


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