Financial Econometrics

Course unit title

Financial Econometrics

Course unit code

Type of course unit (compulsory, optional)

Compulsory

Level of course units (according to

EQF: first cycle Bachelor, second cycle Master)

The Second cycle of Master Degree Program

Year of study when the course unit is delivered

(if applicable)

2020-2021

Semester/trimester when the course unit is delivered

The First Semester of Master Study

Number of ECTS credits allocated

3 Credits (4.8 ECTS)

Name of lecturer(s)

Dr. Rahmat Setiawan, SE., MM., CFP

Dr. Rudi Purwono, SE, MSE

Learning outcomes of the course unit

After completing this course, students are expected to be able to master and practice financial econometric analysis tools including simple linear regression models, multiple linear regression models, dummy variable regression models, qualitative response regression models, panel data regression models and simultaneous equation models in research at financial management field.

Mode of delivery (face-to-face, distance learning)

face to face

Prerequisites and co-requisites (if applicable)

-

Course content

This course elaborates the financial econometric analysis tools including simple linear regression models, multiple linear regression models, dummy variable regression models, qualitative response regression models, panel data regression models and research simultaneous equation models in the field of financial management.

Recommended or required

Reading and other learning resources/tools

Gujarati, Damodar N., Dawn C. Porter, 2009, Basic Econometrics; McGraw Hill, New York. (GP)

Scientific journal articles related to financial econometrics

Planned learning activities and teaching methods

Paper, Discussion, Presentation

Language of instruction

Indonesian

Assessment methods and criteria

Assignment of Summary of Materials and Case Studies (25%)

Group Presentation (15%); Midterm Exam (30%); Final Exam (30%)