Course Syllabus

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Course Description:
This course focuses on the advanced methods and tools to analyze time series in finance and macroeconomics. We will apply these methods and tools to study various macro-finance models. The students are expected to understand and solve problems in estimating and testing different models in finance and macroeconomics.
 
The prerequisite for this course is intermediate-level courses in finance (introductory asset pricing) and econometrics (for example, Econometrics Analysis by William Greene).
 
Time and Location:

  • Time：Fridays 12:55-15:40 pm
  • Location：Xin Shang Yuan S204

Office Hour:

  • The most efficient way to contact me is by email, and I will usually reply in 24 hours. Office hour is available by appointment. My email address is nanli@sjtu.edu.cn  
  • My office is in Antai College of Economics and Management, B705.
  • A wechat group will be set up on the first class 
  • For lecture notes, recorded vieos and homework please go to course website at https://oc.sjtu.edu.cn/  

 
Homework/Grading

  • There will be homework and final exam. You are also required to write a referee report and give a 30-minutes presentation of a research paper of your choice within the pool of required readings (part II). The final grade is based on the weighted average of the homework, presentation, referee report and final exam grades. The following weighting schemes will determine your final grade for the course:
    •  Homework:                                            30%
    • Presentation and Referee Report:       20%
    • Class Participation:                               10%
    • Final Exam:                                             40%
  • You are encourage to discuss homework in groups, but each one of you must hand in a copy of homework separately. For empirical parts of the homework, do NOT submit your program codes or raw data, please submit the final results of your computation with explanation. No late submission of homework will be accepted. 


Class Presentation and Referee report:

  • Each student must sign up to do a 30-minute class presentation of a paper. You should hand out copies of your slides before the presentation. In addition a referee report for the paper you resented will be due by the end of the semester. The referee report should be no more than 10 pages with at least 12pt Time New Roman Font and 1.5 line spacing.

 
Warning: 

  • Plagiarism is taken very seriously.  Students had been caught plagiarizing in class assignments, term paper, and/or quizzes in this course have been severely penalized. Any student caught cheating in any class assignments, term paper, and/or exams will be failed in this course and reported to the school for further penalty.
  • If a student is absent from the exam or late for more than 30 minutes without any medical certificate or other verifiable excuses (subject to the approval of lecturer), there will be no make-up exam and the grade will be counted as zero.

 
 
Textbooks and References:

 

Course Summary:

Date Details Due