Syllabus For Applied Statistical Analysis in Finance (Estadistica)
Rauli Susmel (rsusmel@bayou.uh.edu)
Department of Finance
College of Business Administration
University of Houston
Textbooks:
Required: Statistics for Business and Economics (SBE),
by Paul Newbold, 1988. Prentice Hall, Englewood Cliffs, New Jersey 07632.
Complementary: The Econometrics of Financial Markets,
by John Y. Campbell, Andrew W. Lo, and A. Craig MacKinlay, 1997. Princenton
University Press, Princenton, New Jersey.
Course outline (Chapters SBE):
1. Introduction, Probability, Random Variables, and Probability
Distributions (discrete and continuous). (Chapters 2-5.)
2. Sampling Distributions. (Chapter 6.)
3. Point, Interval Estimation, Hypothesis Testing, and the Estimation
Errors in Financial Series. (Chapters 7-9.)
4. Linear Regression and the Estimation of Asset Pricing Models. (Chapters
12-13.)
5. Non-linearities, Heteroscedasticity, and Hegding. (Chapter 14.)
6. Time Series, ARIMA Models, Forecasting, and the Predictability of Asset
Returns. (Chapter 17.)
7. Maximum Likelihood Estimation and Forecasting of Volatility.
Exams and Grading:
Final grades will be determined as a weighted average of scores on the
midterms, a paper, a presentation and class participation, with the following
weights:
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