EC435 Introduction to Financial Econometrics
Course Information
Level: Undergraduate | Credits: 3 | Semester: 2/2568
Schedule: Wednesday 9:30–12:30 | Room: ศ.230Y
Prerequisite: EC325 (or EC425) and EC431 (or EC432)
Software: R
Teaching Format: Flipped Classroom
Course Description
This course applies econometric tools to financial and macroeconomic time series data. Students first watch pre-recorded lecture videos before each class session; in-class time is devoted to applied activities, software exercises, and discussion. The course emphasizes practical skills for financial research and analysis.
Topics
| Week | Topic |
|---|---|
| 1 | Introduction: financial time series and return calculation |
| 2 | Statistical characteristics of financial time series; normality testing |
| 3–4 | Linear time series models — Autoregressive (AR) model |
| 5 | Linear time series models — Moving Average (MA) model |
| 6 | ARMA models; nonstationary time series and unit root tests |
| 7 | Dynamic time series regression |
| 8–9 | Volatility models — ARCH and GARCH |
| 10–11 | Multivariate time series — Vector Autoregressive (VAR) model |
| 12–13 | Cointegration and Vector Error Correction Model (VECM) |
| 14 | Probit-Logit models for financial risk assessment |
| 15 | R programming test |
Course Learning Outcomes
By the end of this course, students will be able to:
- Describe the characteristics and properties of financial time series data
- Apply ARIMA models to financial data
- Test for and explain stationarity vs. non-stationarity
- Apply dynamic time series regression models
- Apply GARCH models and forecast volatility
- Apply VAR models to analyze multivariate relationships
- Apply VECM for cointegrated systems
- Select the appropriate time series model for a given financial dataset
Assessment
| Component | Weight |
|---|---|
| Midterm examination | 25% |
| Final examination | 35% |
| Individual homework (4 assignments) | 6% |
| In-class activities (14 sessions) | 14% |
| R programming test | 10% |
| Short financial data analysis report | 10% |
In-class activities follow the flipped classroom model: students complete a pre-class quiz (30%), engage in group or individual in-class analysis (50%), and submit a short reflection on what they learned (20%).
Short report (max 15 pages): Students select a financial or macroeconomic dataset, choose an appropriate time series model from the course, and produce a structured empirical analysis report.
Required Textbook
Kongcharoen, Chaleampong. เศรษฐมิติทางการเงินเบื้องต้น (Introduction to Financial Econometrics). 2nd edition. Thammasat University Press, 2567.
Additional references:
- Brooks, C. Introductory Econometrics for Finance. 4th ed. Cambridge University Press, 2019.
- Tsay, R. Analysis of Financial Time Series. 3rd ed. Wiley, 2010.
Chaleampong Kongcharoen
Assistant Professor of Economics, Associated Dean on Academic Affairs
I’m an assistant professor of economics at Thammasat University. My research interests are time series econometrics, and empirical macroeconomics.