Detail mata kuliah Ekonometri Keuangan 1, program studi S2 - Ilmu Manajemen

Detail SAP: Ekonometri Keuangan 1 Tahun Ajaran 2015/2016 -02


Satuan Acara Pengajaran
Mata Kuliah ECMS802008 - Ekonometri Keuangan 1
Pengajar Sigit Sulistiyo Wibowo S.E., M.M., Ph.D., CFP??
Dr. Buddi Wibowo
Tujuan Perkuliahan

Minggu Ke 1
Materi ? Econometrics versus Financial Econometrics ? Basic Data Handling ? Types of Financial Data, cross-section, time-series and panel data ? Working with Data: Graphical Method ? Working with Data: Descriptive Statistics ? Expected Values and Variances ? Some Examples of Financial Data
Media power point, buku teks, data pasar modal
Referensi Brook, Ch.1 Koop, Ch.2 Rachev et al., Ch.2
Aktivitas lecture and dicussiions

 

Minggu Ke 2
Materi Review of Basic Statistical Concept: ? Population?s characteristics: univariate, moment, degree of freedom, and density function ? Normal distribution ? t-student distribution ? Statistical inference: estimation and test of hypothesis ? Population?s characteristics: bivariate, coincidence, covariance, correlation ? ANOVA ? Chi-square distribution ? F distribution
Media power point, buku teks, data
Referensi Rachev et al., Ch.3, Ch.4 Brooks, Ch.2
Aktivitas lecture and discussiion

 

Minggu Ke 3
Materi ? Data Generating Process, population vs sample ? Classical Linear Regression ? Statistical Aspects of Regression ? Capital Asset Pricing Model, Empirical Regression ? Ordinary Least Square
Media powerpoint duku teks data
Referensi Brooks, Ch.3, Koop, Ch.4 Koop, Ch.5
Aktivitas lecture discussion data exercise

 

Minggu Ke 4
Materi ? Multiple Regression ? Arbitrage Pricing Theory, Empirical Regression ? Regression with Dummy Variable ? Regression with Lagged Explanatory Variables ? Assumption and Diagnostic Check ? Generalized Least Square
Media powerpoint buku, data
Referensi Koop, Ch.7, Koop, Ch.8 Brooks, Ch.5
Aktivitas lecture, discussiion, data exercise

 

Minggu Ke 5
Materi ? Moving Average Process ? Autoregressive Process ? Unit-root test, Dickey-Fuller, Augmented Dickey-Fuller, Philip-Perron, KPSS. ? Autocorrelation Function (ACF) and Partial Autocorrelation Function (PACF) ? Random Walk, White-Noise, Martingale Process
Media powerpoint, buku teks, data
Referensi Koop, Ch.9, Brooks, Ch.6
Aktivitas lecture and dicussion

 

Minggu Ke 6
Materi ? Box-Jenkins Procedure, identification, estimation, diagnostic checking ? Selection Criteria: AIC, SBIC ? Forecasting in Econometrics ? Maximum Likelihood Estimation
Media powerpoiint, buku teks, data
Referensi Brooks, Ch.6
Aktivitas lecture and discussion/data exercise

 

Minggu Ke 7
Materi ? Spurious Regression ? Granger Representation Theorem ? Engle-Granger 2-step procedure, co-integration test ? Fama-MacBeth two step regression
Media powerpoint, buku, data
Referensi Koop, Ch.10, Fama & MacBeth 1973
Aktivitas lecture data exercise