SVKM's Narsee Monjee Institute of Management Studies Name of School - SBM, Bangalore

SVKM’s Narsee Monjee Institute of Management Studies
Name of School – SBM, Bangalore
Program: MBA Trimester VI
Course/Module : Financial Analytics Module Code:
Teaching Scheme Evaluation Scheme

Lecture Practical Term End
Tutorial Internal Continuous
(Hours (Hours Examinations (TEE)
(Hours per Credit Assessment (ICA)
per per (Marks- 40)
week) (Marks - 60)
week) week) in Question Paper)
Marks Scaled to Marks Scaled to
-3- - - 3
-60- -40-
Pre-requisite:
 Business Forecasting
 Statistics I & II
 Investment Analysis & Portfolio Management
 Derivatives
Recent years have witnessed a growing need for econometric methods in financial research and practice.
As a result, econometric methods in finance have become one of the most active areas of research. This
course intends to cover econometric techniques that are required for empirical finance, with an emphasis
on Time Series Analysis, Panel Data Analysis, and Cross-sectional Data Analysis. It would cover the
application part of all the econometric models covered in the course with the help of financial data
analysis on a statistical software EViews/ R/ STATA.
Objectives:
Provide comprehensive knowledge to do empirical work in financial research and practice.
Outcomes: After completion of the course, students would be able to :
1. Acquire working knowledge of Financial Time Series data.

2. Acquire working knowledge of Financial Panel data.
3. Acquire working knowledge of Cross-sectional data.
4. Know how to access data sources and prepare data for econometric analysis.
5. Perform basic programming using the statistical software package EVIEWS/ R/ STATA.
6. Apply econometric concepts and techniques in professional assignments to real financial data.
Detailed Syllabus: ( per session plan )
Session Description Duration

in Hours
1 What Role does Econometrics play in Finance? 1.5
 Apply Methodology of Econometrics;
 Define the types of Econometrics tools
 What is the connection between Econometrics, Statistics, and Finance?
2 Dummy Variable Regression Models 1.5
 Apply dummy variables
 Apply ANOVA Models with 2 qualitative variables;
 Apply ANCOVA models
3 Relaxing the Assumptions of the Classical Model: Multicollinearity 1.5
 Evaluate multicollinearity;
 Estimation in the presence of perfect multicollinearity;
 Estimation in the presence of high but imperfect multicollinearity
4 Relaxing the Assumptions of the Classical Model: Heteroscedasticity 1.5
 Evaluate heteroscedasticity;
 Apply OLS estimation in the presence of heteroscedasticity;
 Apply Method of Generalized Least Squares (GLS)
5 Relaxing the Assumptions of the Classical Model: Autocorrelation 1.5

 Evaluate autocorrelation;
 Apply OLS estimation in the presence of autocorrelation;
 Evaluate the BLUE estimator in the presence of autocorrelation
6 Model specification and diagnostic testing 1.5
 Evaluate model selection criteria;
 Evaluate Types of specification errors;
 Resolve Consequences of model specification errors
7-8 Nonlinear Regression Models 3

 Apply Estimation of nonlinear regression models
 Find alternate approaches to estimating nonlinear regression models
9-10 Qualitative Response Regression Models 3
 Evaluate qualitative response models;
 Apply Linear Probability Model (LPM)
 Applications of LPM
 Logit Model
11-13 Panel Data Regression Models 4.5
 Apply the Fixed effect model
 Apply the Random effect model
 Evaluate selection between fixed effect and random effect model; various
diagnostic tests;
 Applications of panel data from corporate finance literature
14-15 Dynamic Econometric Models 3
 Evaluate the role of time or lag in Economics;
 The reasons for lags;
 Estimation of Distributed-Lag Models.
 Estimation of Autoregressive Models
16-17 Simultaneous-Equation Models 3
 Evaluate Simultaneous-Equation Models
 Applications of Simultaneous-Equation Models
18 Artificial Intelligence & Neural Networks 1.5
 Artificial intelligence & neural networks application in finance
19-20 Group Presentations on Given Projects 3
 Collecting panel data and applying Fixed Effect Model and Random Effect
Model and finding the suitable model;
 Collecting cross-sectional data and applying Qualitative Response Regression
Models;
 Collecting time series data and applying Dynamic Econometric Models;
 Collecting time series data and applying Simultaneous-Equation Models;
 Collecting time series data and applying Nonlinear Regression Models

Total 30
Text Books:
Basic Econometrics, 5e, Damodar N Gujarati., D. Porter & S Gunakesar, McGraw Hill Publication,
2012[Gujarati]
Reference Books:
 Introductory Econometrics for Finance, 3e, Chris Brooks, Cambridge University Press, 2014 [Brooks]
 Introductory Econometrics,4e, Jeffery M. Woolridge, Cengage Learning,[Woolridge], 2009
Any other information :

Total Marks of Internal Continuous Assessment (ICA) : 60 Marks
Distribution of ICA Marks :
Description of ICA Marks

Class Participation 20
Presentation 20
Project Report 20
Term-End Exam 40
Total Marks : 100
_________ ____________
Signature Signature
(Prepared by Concerned Faculty/HOD) (Approved by Dean)

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SVKM’s Narsee Monjee Institute of Management Studies

Name of School – SBM, Bangalore

Program: MBA Trimester VI

Course/Module : Financial Analytics Module Code:

Teaching Scheme Evaluation Scheme

Outcomes: After completion of the course, students would be able to :

1. Acquire working knowledge of Financial Time Series data.

Detailed Syllabus: ( per session plan )

Session Description Duration

Name of School – SBM, Bangalore

5 Relaxing the Assumptions of the Classical Model: Autocorrelation 1.5

7-8 Nonlinear Regression Models 3

Name of School – SBM, Bangalore

 Collecting time series data and applying Nonlinear Regression Models

Any other information :

Description of ICA Marks

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