Objective 1.Learn how to collect and analyze data. 2.Use econometric techniques to solve financial problems. 3.Independently complete an academic paper. THE SVERIGES RIKSBANK PRIZE IN ECONOMIC SCIENCES IN MEMORY OF ALFRED NOBEL 2021 David Joshua Guido Card D.Angrist W.Imbens "for his empirical "for their methodological THE ROTAL SWEDSSH ACADEMY OF SCENCES 6
• 1. Learn how to collect and analyze data. • 2. Use econometric techniques to solve financial problems. • 3. Independently complete an academic paper. 6 Objective
Tools Statistical Software Stata.SAS,Matlab,Eviews,R.Python. 。Literature ·中国知网。 ·ScienceDirect. ·图书馆数据库，超星发现。 ·Database ·CSMAR ·Wind. ·Choice. ·CNRDS. 7
• Statistical Software • Stata, SAS, Matlab, Eviews, R, Python. • Literature • 中国知网。 • ScienceDirect. • 图书馆数据库，超星发现。 • Database • CSMAR. • Wind. • Choice. • CNRDS. 7 Tools
Course Schedule Chapter 1.Introduction to Financial Econometrics 。 Chapter 2.Statistical Foundations:Overview of OLS Chapter 3.Causal Inference framework 1 。 Chapter 4.Causal Inference framework 2 Chapter 5.Mediation Effect and Moderating Effect Chapter 6.Control Variables and Fixed Effects Chapter 7.Difference-in-difference Model 1 Chapter 8.Difference-in-difference Model 2 。 Chapter 9.Instrumental Variable Regression Chapter 10.Propensity Score Matching 。 Chapter 11.Regression Discontinuity Design 。 Chapter 12.Application:Policy Evaluation Chapter 13.Application:Corporate Finance Chapter 14.Application:Financial Markets ·Presentations. 8
• Chapter 1. Introduction to Financial Econometrics • Chapter 2. Statistical Foundations: Overview of OLS • Chapter 3. Causal Inference framework 1 • Chapter 4. Causal Inference framework 2 • Chapter 5. Mediation Effect and Moderating Effect • Chapter 6. Control Variables and Fixed Effects • Chapter 7. Difference-in-difference Model 1 • Chapter 8. Difference-in-difference Model 2 • Chapter 9. Instrumental Variable Regression • Chapter 10. Propensity Score Matching • Chapter 11. Regression Discontinuity Design • Chapter 12. Application: Policy Evaluation • Chapter 13. Application: Corporate Finance • Chapter 14. Application: Financial Markets • Presentations. 8 Course Schedule
Outline The Definition of Financial Econometrics The Characteristics of Financial Data Typical Financial Econometrics problems 9
• The Definition of Financial Econometrics • The Characteristics of Financial Data • Typical Financial Econometrics problems 9 Outline
The Definition of Financial Econometrics ·Defination: Financial Econometrics is the application of econometric techniques to problems in finance. ·金融计量学是以一定的金融理论和统计资料为基础，运用数学、统计学方法与电脑技术， 以建立计量模型为主要手段，定量分析研究具有随机性特性的金融变量关系的应用学科。 ·Elements: ·Financial Theory. Statistics(Financial data). ·Econometric model. Quantitative analysis. Variable relationship. 10
• Defination: • Financial Econometrics is the application of econometric techniques to problems in finance. • 金融计量学是以一定的金融理论和统计资料为基础，运用数学、统计学方法与电脑技术， 以建立计量模型为主要手段，定量分析研究具有随机性特性的金融变量关系的应用学科。 • Elements: • Financial Theory. • Statistics (Financial data). • Econometric model. • Quantitative analysis. • Variable relationship. 10 The Definition of Financial Econometrics