Master of Science in

Financial Engineering

MScFE 610
Econometrics
Course Syllabus

201 St. Charles Avenue, Suite 2500, New Orleans, LA 70170

Phone: (504) 507-0840 Fax: (888) 845–2634
https://wqu.org
 MScFE 610
Course Syllabus
Revised: 11.20.18

Table of Contents

General............................................................................................................................................3
Credit Hour Policy .................................................................................................................................. 5

Graded Assessments and Grading Policies ...................................................................... 6

Graded Assessments and Deadlines ............................................................................................... 6
Grading Criteria and Points Distribution........................................................................................ 7
Grade Percentage................................................................................................................................... 7
Satisfactory Academic Progress ........................................................................................................ 8

Course Structure, Student Expectations, and Requirements .................................... 8

Attendance ............................................................................................................................................... 8
Multi-media Content and Reading Assignments ....................................................................... 8
Quiz Assignments................................................................................................................................... 8
Collaborative Review ............................................................................................................................. 9
Posting Questions for Live Lectures ................................................................................................ 9
Group Work Project and Grading Rubric....................................................................................... 9

Academic Policies .................................................................................................................... 10

Academic Integrity ............................................................................................................................... 10
Code of Conduct .................................................................................................................................. 11
Prohibited Conduct ............................................................................................................................. 11

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 MScFE 610
Course Syllabus
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General
COURSE CODE MScFE 610
COURSE TITLE Econometrics
CREDITS 4 semester credit hours
COURSE Econometrics is the second course in your Master of Science in Financial Engineering.
DESCRIPTION In this course, you will apply statistical techniques to the analysis of econometric data.
The course begins with an introduction to the R statistical programming language,
and continues with a discussion of econometric models, including multiple linear
regression models, time series models and stochastic volatility models. The course
concludes with an explanation of extreme value theory and risk management.
COURSE Upon successful completion of the course, you will be able to:
LEARNING CLO 1: Use R packages to solve statistical problems with financial data
OUTCOMES
CLO 2: Apply multivariate statistical techniques to analyze multidimensional data
CLO 3: Fit financial models to data to model volatility and portfolio returns

MODULE Upon completion of each module in the course, you will be able to:
OBJECTIVES
Module 1: Learning R and Stylized Facts of Financial Data
• Write simple programs in R
• Use R packages to solve statistical problems
• Use R for visualization
Module 2: Generalized Linear Models
• Formulate and fit the multiple linear regression model and its variants
• Formulate and fit a generalized linear model
Module 3: Univariate Time Series Models
• Understand the properties of the multivariate normal distribution
• Visualize multi-dimensional data and relationships between variables
• Perform dimensionality reduction using principal components analysis (PCA)
• Apply Factor analysis
• Apply discriminant analysis
Module 4: Univariate Volatility Modeling
• Describe the main components of a time series model
• Fit AR, MA and ARMA models to data
• Define cointegration
• Perform unit root tests
• Fit ARIMA models
• Fit other time series models
Module 5: Multivariate Time Series Analysis
• Discuss fundamentals of ARCH and GARCH models
• Explain parameter estimation of ARCH and GARCH models
• Compare various types of filtering and volatility models

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Course Syllabus
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Module 6: Extreme Value Theory

• Derive the distributions of order statistics from a random sample
• Derive the limit distributions of order statistics
• Derive the properties of the three main extreme value distributions
• Estimate parameters for extreme value distributions
• Apply EVT to portfolio management
Module 7: Introduction to Risk Management
• Define the different types of risk measures
• Calculate Value at Risk (VaR) and Expected Shortfall (ES) for a given portfolio
• Use copulas to find the joint distribution of a random vector

- Lecture notes posted in the online classroom

COURSE
- Free online resources as indicated by your instructor
MATERIALS
- Optional references posted in the online course room
METHODS OF Video lectures, interactive videos, interview videos, and reading assignments
INSTRUCTION embedded in the online course room
METHODS OF
Quizzes, collaborative review assignments, group work project
ASSESSMENT
PREREQUISITES MScFE 560: Financial Markets
CURRICULUM
November 20, 2018
REVISION DATE
FACULTY Faculty contact information is posted in the “Course Announcements” section of
CONTACT your online course room.

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Course Syllabus
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Credit Hour Policy

WorldQuant University awards semester credit hours. A 4-semester credit hour course requires
students to spend approximately 180 hours engaged in coursework. Coursework includes 60
hours of academic engagement (I.e., instructor-led activities such as watching video lectures,
participate to interactive discussions via online) and 120 hours of preparation (i.e., completing
reading assignments, conducting research, completing projects). Note that these are average
times, derived from generally accepted average standards.

4 Credit Hour Course (7 weeks)

Estimated hours
Activity Average hours
per course
Watching video lectures and guest lectures 2 h/week 14
Seeking clarification about course content 2 h/week 14
Interacting with/watching online multimedia content 1 h/week 7
Academic
Interacting in Q&A sessions with faculty and classmates
Engagement 2 h/week 14
via live sessions or discussion forums
Completing quizzes 2 h/week 14
63 hours
Total
(60 hours target)

Completing required reading in published notes and

1 h/week 7
mastering concepts
Completing and mastering further reading from free
1 h/week 7
resources as indicated by the instructor
Reviewing and mastering further multimedia content
1 h/week 7
available in the online course
Preparing for 7 quizzes 4 h/quiz 28
Preparation Completing 3 collaborative-review essays 4 h/essay 12
Reviewing 6 essays from peers 1 h/essay 6
Completing research and development of work group
3 h/page 36
project (12 pages/average)
Collaborating with teammates via discussion forums to
2.5 h/week 21
complete the work group project
124 hours
Total
(120 hours target)
Total hours students should expect to spend per week = 25.7 hours

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Course Syllabus
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Graded Assessments and Grading Policies

Graded Assessments and Deadlines
The chart below lists the graded assessments that are required for completion, and the deadlines
for submission. Keep in mind that in each week of this 7-week course you will complete 1 module,
for a total of 7 modules. “M” in the table below stands for ‘Module’ (e.g., M1 is Module 1).

Week Assessment Deadline

Quiz Module1
Week 1 End of Week 1
Collaborative Review Task M1 (Submission)
Quiz Module 2
Week 2 Collaborative Review Task M2 (Submission) End of Week 2
and M1 (Assessment)
Quiz Module 3
Week 3 Group Work Project - Draft 1 End of Week 3
Collaborative Review Task M2 (Assessment)
Quiz Module 4
Week 4 End of Week 4
Collaborative Review Task M4 (Submission)
Quiz Module 5
Week 5 Group Work Project - Draft 2 End of Week 5
Collaborative Review Task M4 (Assessment)

Week 6 Quiz Module 6 End of Week 6

Quiz Module 7
Week 7 End of Week 7
Group Work Project - Draft 3

*The week starts on a Tuesday (Day 1) and ends on a Monday (Day 7)

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Course Syllabus
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Grading Criteria and Points Distribution

Graded assessments are reflected in your final course grade as follows:

Graded Assessment Points Percentage

Quiz Module 1 20
Quiz Module 2 20
Quiz Module 3 20
Quiz Module 4 20
Quiz Module 5 20
Quiz Module 6 20
Quiz Module 7 20
Quiz Assignments Total 140 35%
Collaborative Review Task M1 (Submission) 20
Collaborative Review Task M1 (Assessment) 6
Collaborative Review Task M2 (Submission) 21
Collaborative Review Task M2 (Assessment) 6
Collaborative Review Task M4 (Submission) 21
Collaborative Review Task M4 (Assessment) 6
Collaborative Review Total 80 20%
Group Work Project – Draft 1 45
Group Work Project – Draft 2 45
Group Work Project – Draft 3 90
Group Work Project Total 180 45%
Course Total 400 100%

You can view your progress (points earned and percentage towards final grade) by clicking
‘Grades” on top left of your online course room.

Grade Percentage
The table below shows how your final grade percentage will be evaluated:

Grade Percentage Explanation

85-100 Excellent
70-84 Proficient
65-69 Satisfactory
0-64 Unsatisfactory
Withdrawal* W
* Students may withdraw from a course before the end of the third (3rd) week by notifying the support team.

To receive a “Certificate of Completion” for this course, you must earn a final grade of 65% or above.

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Course Syllabus
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Satisfactory Academic Progress

In order to earn the Master of Science in Financial Engineering, you must:
• Maintain a cumulative average score of 70% or above
• Complete the program within the Maximum Time Frame (MTF) of 150% (3 years) of the
scheduled program length of two (2) years.

Course Structure, Student Expectations, and Requirements

The content for each week-long module is released on a Tuesday (Day 1) and ends with the
weekly live lecture on the following Monday (Day 7). Make sure you plan your studies carefully
to maintain a manageable amount of learning each day.

Attendance
Regular attendance and participation are crucial elements for a successful learning experience.
You are required to access the online course room at least once each week, complete all of the
activities listed in the “Graded Assessments and Deadlines” table, and participate in discussion
forums.

Multi-media Content and Reading Assignments

Learning materials are published in the online course room and consist of recorded video lectures,
supplementary notes, and short case studies. Text-based notes are downloadable for offline
studying. You may also be directed to additional videos and articles elsewhere on the web by
faculty. You should use these materials to master the topics and complete the graded
assessments.

Quiz Assignments
Every week, you will be required to complete one quiz consisting of 15 multiple choice questions.
The goal of these quizzes is to assess your understanding of the current week’s content. To
promote mastery of the concepts encountered during the week, two attempts are allowed for
each quiz; the highest score will count towards your final grade. Quiz assignments are
automatically graded, and the grade is readily available to you in your online gradebook.

Your grades for the quiz assignments will comprise 35% of your final grade.

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Course Syllabus
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Collaborative Review
In Week 1, 2, and 4, you are required to complete a short assessment for collaborative review
based on the current week's work. After submitting it online by the end of Sunday (Day 6), you
are required to assess two of your peers’ assignments as well as your own. Your review is based
on four criteria included in the rubric posted online. For each criterion, select one of the four levels
of evaluation as follows: “Excellent”, “Proficient”, “Satisfactory”, or “Unsatisfactory”.

You will have until the following Sunday to assess these assignments. The grade you obtain for
your collaborative-reviewed assignments will comprise 20% of your final grade.

Posting Questions for Live Lectures

Throughout the week, if you have any questions regarding the core learning content or
assessments, you can post them on the Student Community Forum located in the Overview
section of your online classroom. If one of your peers has already posted your question, please
make sure to upvote the question rather than posting it again. The posts with the highest numbers
of upvotes will appear at the top of the forum, which makes them the most likely to be addressed
by your faculty or instructor in the live lecture every Monday (Day 7) in addition of being
answered in the forum. All live lectures are recorded and will be made available on the WQU
platform for you to access at any time.

Group Work Project and Grading Rubric

For the duration of each course, you will be required to work on a group project together with
four of your peers. The topic will encapsulate the relevant coursework, and your group will be
required to submit three drafts – in weeks 3, 5, and 7 – for instructor’s assessment. Within a week
of each submission, your group will receive feedback from the instructor, enabling you to
implement changes ahead of the second and final submission.

You will use a group discussion forum open only to your group members to collaborate in the
project. Your grades for the three submitted drafts will comprise 45% of your final grade.

The instructor will use the grading rubric below to evaluate your group work project.

Assessment Criteria Excellent Proficient Satisfactory Unsatisfactory

85-100 70-84 65-69 0-64
Knowledge of the The group presents a clear, The group produces a The group has produced The group has produced
Content coherent and noteworthy strong paper that an adequate paper, a weak paper that would
(Out of 10) paper that demonstrates full demonstrates that they reflecting some need considerable
understanding of their understand the subject knowledge of the subject revision. It reflects a poor
subject matter. Their chosen matter. They have matter. They may struggle understanding of the
evidence is thorough, indicated awareness of how the literature relates topic.
to their argument.

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Course Syllabus
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relevant and clearly the literature they can

presented. refer to.
Research The group has demonstrated The group has presented The group has referred to The group has only used
(Out of 10) skill in their selection and use their research well, and sources explicitly, but has Wikipedia or similar non-
of academic resources to has consulted reliable not elaborated on how academic sources.
present original ideas in the academic resources to aid they add to the argument. Referencing is scant.
context of the existing their argument.
literature.
Methods and Analysis This group has demonstrated The group is able to use The group makes The group refers to
(Out of 10) clear attention to how their literature and academic reference to literature but academic sources
research builds towards an sources to strengthen does not explain how the vaguely, and does not use
argument by analyzing the their arguments. May be literature adds to their them to support their
content they present and somewhat derivative argument. Analysis of argument.
comparing/ contrasting and/or may lack deeper their sources is vague and
different elements and insight. limited.
information. This is done with
style and clarity.
Argument and The group has structured a The group has made an This group has the The group has nominal
conclusions clear and coherent argument, argument in the required main elements introduction and
(Out of 10) clearly signposted with introduction and of an argument: conclusion, but this does
relevant introduction and conclusion, and has put introduction, body and not build to a coherent,
conclusion. The group’s body forward points and conclusion. The group’s logical argument. The
section will continue and evidence to support the introduction and paper may be
build on the argument. argument. conclusion make a contradictory.
weak/unclear argument.
Formatting and The group has presented The group has presented
Academic register their assignment in a clear their assignment
(Out of 10) and coherent manner, with adequately. There is
consistent formatting and consideration of
clear referencing. The register formatting and
is appropriate, and the work referencing. The register
is free of spelling errors and may need work, and there
typos. may be spelling errors.

Academic Policies
This section includes a portion of the policies enforced at WorldQuant University. A complete list
of the academic policies is included in the University Catalog.

Academic Integrity
Commitment to the principles of academic honesty and integrity is essential to the mission of
WQU.

All work submitted in a course must be the student’s own work. The knowing submission of
another’s work represented as that of the student without properly citing the source of the work
will be considered plagiarism. Consequences for plagiarism include: receiving a failing grade on
the assignment and being placed on academic probation, receiving a failing grade in the course
and being placed on academic probation, or being dismissed from WQU. The consequences will

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Course Syllabus
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be determined by and at the discretion of the Academic Dean in consultation with the CEO and/or
faculty members.

In making this determination, WQU may conduct an investigation to review past homework
assignments submitted by the student and reserves the right to change past grades if plagiarism
is subsequently found in previous assignments. The submission of the same work to multiple
courses violates academic integrity unless substantially changed or cited as previous work. The
submission of work completed by others violates academic integrity.

Students who are accused of academic dishonesty can appeal the determination to the Academic
Dean. Appeals must be made in writing and include supporting documentation. The Academic
Dean will review the appeal and documentation in consultation with the President and/or faculty
members, as needed, and make a final decision on the academic dishonesty determination within
five (5) days. Students will be notified of the decision on appeals in writing and all documentation
will be added to the student’s record.

Code of Conduct
The Student Code of Conduct sets forth the standards of conduct expected of students at WQU.
This code is not exhaustive, and students may be subject to disciplinary actions for other behavior
and/or activities deemed unacceptable or disruptive to the goals and mission of WQU and the
expectation of professionalism in the online learning environment.

Students who violate these standards will be subject to disciplinary actions including, but not
limited to, issuance of a warning, probation, termination, or permanent expulsion. Any and all
disciplinary action will be recorded in the student’s academic record.

Prohibited Conduct
All forms of academic dishonesty including, but not limited to, cheating, fabrication, plagiarism,
and engaging in or facilitating academic dishonesty, republishing or redistributing any course
materials, your work, or another student's work, including uploading content to websites or
linking to it through services, is prohibited. Assignments, notes, assessments, audio or video
recordings, and other documents and information within a course are the property of WQU unless
explicitly noted.

• Plagiarism is defined as representing words, ideas, or other works of another individual

or entity as your own without giving proper credit to the original author or source.
• Cheating is defined as using or attempting to use unauthorized materials, information,
study aids, or computer-related information.

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• Self-Plagiarism is defined as submitting previously submitted course work that may or

may not have received academic credit, without prior approval of faculty.
• Poor scholarship is defined as an incorrect attempt to give credit to or document the use
of an external source.
• Misrepresenting academic engagement is defined as intentionally logging onto the
learning management system without meaningfully engaging in academic activities for
the purpose of demonstrating attendance.
• Impersonation of another, using another person’s identity, or furnishing materially false
information, including manufacturing or possession of false identification.
• Forgery, fabrication, falsification, unauthorized alteration, or misuse of university
documents, records, or identification.

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