This document provides the syllabus for the Applied Financial Econometrics course offered at Universitas Indonesia's Faculty of Economics and Business. The 3-credit course will be taught over 14 weeks, with topics including univariate and multivariate time series analysis, GARCH modeling, VAR/VECM, and panel data analysis. Students will apply the concepts through replicating analyses from research papers. Assessment includes attendance, assignments, a midterm paper and presentation, and a final presentation. The course aims to equip students with skills in financial research methods.

1. UNIVERSITAS INDONESIA
FACULTY OF ECONOMIC AND BUSINESS
DEPARTEMENT OF MANAGEMENT
GRADUATE SCHOOL OF MANAGEMENT
SYLLABUS
APPLIED FINANCIAL ECONOMETRICS
ECMS801122
ODD SEMESTER 2022/2023
Lecturers
No. Name E-mail Consultation Hour Place
1 Dr. Yogo Purwono S.E.,
M.M.
yogoact@yahoo.com
2. Nur Dhani Hendranastiti
S.E.,M.Sc.
nur.dhani@gmail.com
3. Wahyu Jatmiko, M.Sc.,
Ph.D
w.jatmiko09@gmail.com
Assistants
No. Name E-mail
1
Subject Code ECMS801122
Subject Title APPLIED FINANCIAL ECONOMETRICS
Credit Value 3
Year/Semester I/1 AND 2
Day/Hour
Subject Type COMPULSORY
Pre-requisite/
Co-requisite/
Exclusion
NONE
Role and Purposes After taking this subject students should be able to apply multivariate time
series and panel data analysis to relevant financial research context. Moreover,
students are expected to be critical in reading relevant literature and be mindful
of the importance (contribution) of the literature. Before final exam, students
must submit a report based on their research in selected finance topics.
Financial Econometric 2 is an intermediate level course in financial research
methods. The delivery of this course is based on the selected articles that have

2. to be read before class commences. The purpose of this course is to forge skills
to formulate and to execute methodologies in financial research.
Subject Learning
Outcomes
Participants of this unit are expected to obtain these competencies:
• Able to explain various research designs and methodologies
• Able to choose suitable statistical test for each research objective
AACSB Learning Goal (LG) and Learning Objective (LO)
LG4 CRITICAL THINKING: – Students are able to demonstrate that they are critical
thinkers.
LO 4.1. Students are able to argue and draw conclusion on an issue based on
academic research evidences
LG6: Research – Student are able to demonstrate knowledge in management
research methods.
LO 6.1 : Students are able to apply research methods in management
ASM : use in assessment
TLA : only teaching and learning
For TLA :
Lecturers must explain for each TRAIT will be delivered in what Session, and write it
in the schedule
e.g. T1 (LO 7.1) will be learned in session 1
Subject Synopsis/
Indicative Syllabus Week# Topics Reading Materials

3. 1
Introduction:
Review of basic Data Generating
Process in univariate Financial
Econometrics:
1. Random Walk Process
2. White Noise Process
3. ARIMA
4. GARCH
T1: Able to apply relevant
research design to academic
research problem (TLA)
1. Cochrane, John, 2005, Time-Series for
Macroeconomics and Finance,
http://faculty.chicagobooth.edu/
john.cochrane/research/papers/
time_series_book.pdf
2. Macroeconomics and Finance,
3. Franc, C. & Zakoïan, J-M., 2010,
GARCH Models: Structure, Statistical
Inference and Financial Applications,
Ch.2.
4. Bollerslev, T., Engle, R.F., and Daniel B.
Nelson, 1994, ARCH Models.
Handbook of Financial Time Series,
Elsevier.
2
GARCH-in-Mean
• Rerangka dasar risk-return-trade-
off.
• Time-varying risk premia.
• Uji univariate dan multivariate
dalam risk-return trade-off.
• Temuan empiris dalam cakupan
risk-return trade off.
Tugas minggu depan untuk
persiapan praktik analisis data:
Mengumpulkan data T-bills dan T-
Bonds dari:
a. https://www.treasury.gov/
resource-center/data-chart-
center/interest-
rates/Pages/TextView.aspx?
data=billrates
b. b.https://www.treasury.gov/
resource-center/data-chart-
center/interest-
rates/Pages/TextView.aspx?
data=longtermrate
c. Berbagai negara maju dan
berkembang dengan rentang
data dari 2000-2016 dengan
frekuensi harian dan bulanan.
1. Lettau, M. and Ludvigson, S., 2003.
2. Engle, R., Lilien, M. and Russel
Robins, 1987.
3. Lunblad, Christian, 2007.
4. Baillie, R.T., DeGennaro, R.P., 1990.
5. Elyasiani, E., Mansur, I., 1998

4. 3
Praktik Analisis Data:
• Replikasi bertahap terhadap
artikel acuan utama.
Tugas minggu depan untuk
persiapan replikasi analisis data:
a. Mengumpulkan data indeks
harga saham dari berbagai
negara maju dan berkembang.
b. Frekuensi data: harian,
mingguan, bulanan dan
kwartalan.
c. Rentang data dari tahun 2000-
2016.
d. Baca Liu et al., 2016.
e. Presentasi hasil replikasi
dengan data yang sama dan
berbeda dari artikel acuan.
Engle, R., Lilien, M. and Russel Robins,
1987
4
Replikasi Analisis Data dari
Artikel:
Presentasi hasil replikasi dengan
data yang sama dan berbeda
dengan artikel acuan.
Liu, D., Gu, H., and Lung, P., 2016. The
equity mispricing: Evidence from China's
stock market. Pacific-Basin Finance
Journal 39, 211-223.

5. 5
Multivariate GARCH:
• Correlated risk
• Rerangka univariate ke
multivariate second moment
• Struktur multivariate GARCH
berbasis VEC dan BEKK
• Struktur multivariate GARCH
berbasis CCC dan DCC
Tugas minggu depan untuk Praktik
Analisis Data M-GARCH:
a. Siapkan perangkat lunak E-
Views minimum versi 7.
b. Siapkan perangkat lunak Ox-
Metrics minimum versi 6.
c. Kumpulkan data harga minyak
dan indeks harga saham dalam
frekuensi bulanan untuk US
dan China. Baca Broadstock
and Filis, 2014.
d. Kumpulkan data indeks harga
saham, indeks obligasi negara
dan forward exchange rates.
Baca Kyrzanowski et al., 2016.
1. Bauwens, L., Laurent, S and Jeroen
Rombouts, 2006. Multivariate GARCH
Models: A Survey. Journal of Applied
Econometrics, 21, 79-109.
2. Bollerslev, T., Engle, R. F., and
Wooldridge, J. M., 1988. A capital
asset pricing model with time varying
covariance. Journal of Political
Economy, 96, 116–131.
3. Karolyi, A., 1995. A Multivariate
GARCH Model of International
Transmissions of Stock Returns and
Volatility: The Case of the United
States and Canada. Journal of
Business and Economic Statistics, 13,
11-25.
4. Kearney, C., and Patton, A., 2000.
Multivariate GARCH Modelling of
Exchange Rate Volatility Transmission
in the European Monetary System.
Financial Review, 35, 29-48.
5. Saleem, K., 2009. International linkage
of the Russian market and the Russian
financial crisis: A multivariate GARCH
analysis. Research in International
Business and Finance 23, 243-256.
6
Praktik Analisis Data Multivariate
GARCH:
• Scalar BEKK
• CCC
• DCC
Tugas minggu depan untuk
persiapan replikasi analisis data:
• Baca Chang et al., 2013.
• Presentasi hasil replikasi dengan
data yang sama dan berbeda.
1. (Scalar BEKK) - Broadstock, D. C., and
Filis, G., 2014. Oil price shocks and
stock market returns: New evidence
from the United States and China.
Journal of International Financial
Markets, Institutions & Money 33,
417-433.
2. (DCC) - Kryzanowski. L., et al., 2016.
Cross-financial-market correlations
and quantitative easing. Finance
Research Letters, 000, 1-10.
7
Replikasi Analisis Data dari
Artikel:
Presentasi hasil replikasi dengan
data yang sama dan berbeda
dengan artikel acuan.
Chang, C-L., McAleer, M., and Tansuchat,
R., 2013. Conditional correlations and
volatility spillovers between crude oil and
stock index returns. North American
Journal of Economics and Finance 25, 116-
138.

6. 8
VAR/VECM :
• Granger causality
• Integration
• Co-integration
• VECM
• VAR
Tugas minggu depan untuk
persiapan praktik analisis data:
• Baca Wang, L., 2014.
Kumpulkan data sesuai Wang, L.,
2014.
1. Harris, R., and Sollis, R., 2003. Ch 4, 5,
6.
2. Sims, Christopher, 1980,
Macroeconomic and Reality.
Econometrica, 48, 1-48.
3. Engle, R. F and Granger, C.W.J, 1987,
Co-integration and Error Correction:
Representation, Estimation, and
Testing. Econometrica, 55, 251-276.
4. Chen, G., Firth, M., and Rui, O.M.,
2002, Stock Market Linkages:
Evidence from Latin America. Journal
of Banking and Finance, 26, 1113-
1141.
9
Praktik Analisis Data:
Tugas untuk persiapan replikasi
analisis data:
• Baca Lee & Rui, 2002.
• Persiapkan data
Persiapan presentasi dengan data
yang sama atau berbeda
Wang, L., 2014. Who moves East Asian
stock markets? The role of the 2007–2009
global financial crisis. Journal of
International Financial Markets,
Institutions and Money 28, 182-203.
10
Replikasi Analisis Data dari Artikel
Acuan:
Presentasi hasil replikasi dengan
data yang sama dan berbeda
dengan artikel acuan.
Lee, B-S., Rui, O. M., 2002. The dynamic
relationship between stock returns and
trading volume: Domestic and cross-
country evidence. Journal of Banking and
Finance 26, 51-78.
11
Panel Data:
Tugas minggu depan untuk
persiapan praktik analisis data:
• Baca Narayan et al., 2011.
Persiapkan data sesuai Narayan et
al., 2011
Brooks, 2014. Ch.11
12
Praktik Analisis Data:
Tugas untuk persiapan replikasi
analisis data:
• Baca Narayan et al., 2011
• Persiapkan data sesuai Narayan
et al., 2011
Persiapan presentasi dengan data
yang sama atau berbeda
Narayan, P. K., Mishra, S., Narayan, S.,
2011. Do market capitalization and stocks
traded converge? New global evidence.
Journal of Banking and Finance 35, 2771-
2781.

7. 13
Replikasi Analisis Data dari Artikel
Acuan:
Presentasi hasil replikasi dengan
data yang sama dan berbeda
dengan artikel acuan.
Narayan, P. K., Mishra, S., Narayan, S.,
2011. Do market capitalization and stocks
traded converge? New global evidence.
Journal of Banking and Finance 35, 2771-
2781.
14 Review Pre-UAS
Teaching/Learning
Methodology
Assessment
Method in
Alignment with
Intended Learning
Outcomes
Description
Percentage of
Evaluation (%)
Absensi/Partisipasi
10
PR/Quiz/ tugas/Lab
Makalah Tengah Semester 20
Ujian Tengah semester 30
Presentasi Makalah Akhir Semeter 40
Total 100

8. Details of
learning methods
Student Study
Effort Expected Class Contacts:
PCL ... Hours
Lecture ... Hours
Other student study effort:
Preparation for project/assignment/tests ... Hours
Reading List and
References
• Buku:
o Brooks, C., 2014. Introductory Econometrics for Finance.
Cambridge University Press, New York.
o Koop, G., 2006. Analysis of Financial Data. John Wiley & Sons Ltd.,
West Sussex, England.
o Rachev, Svetlozar, T., Höchstötter, M., Fabozzi, F., Focardi, 2010.
John Wiley & Sons, Inc., Hoboken, New Jersey.
o Xekalaki, E., Degiannakis, S., 2010. John Wiley & Sons Ltd., West
Sussex, United Kingdom.
• Artikel-artikel ilmiah:
o Ang, A., Hodrick, R., Xing, Y., Zhang, X., 2006. The cross-section of
volatility and expected returns. Journal of Finance 61, 259–299.
o Ang, A., Hodrick, R., Xing, Y., Zhang, X., 2009. High idiosyncratic
volatility and low returns: International and further U.S. evidence.
Journal of Financial Economics 91, 1-23.
o Fu, F., 2009. Idiosyncratic risk and the cross-section of expected
stock returns. Journal of Financial Economics 91, 24-37.
o Guo, H., Savickas, R., 2010. Relation between time-series and
cross-sectional effects of idiosyncratic variance on stock returns.
Journal of Banking & Finance 34, 1637-1649.
o Jacobesen, B., Dannenburg, D., 2003. Volatility clustering in
monthly stock returns. Journal of Empirical Finance 10, 479-503.
o Jacobs, H., 2016. Market maturity and mispricing. Journal of
Financial Economics [Article in Press], 1-18..
o Le, V., Zurbruegg, R., 2010. The role of trading volume in volatility
forecasting. Journal of International Financial Markets,
Institutions and Money 20, 533-555.
o Liu, D., Gu, H., Lung, P., 2016. The equity mispricing: evidence
from China's stock market. Pacific-Basin Finance Journal 39, 211-
233.
o Stambaugh, R., Yu, J., Yuan, Yu, 2015. Arbitrage asymmetry and
the idiosyncratic volatility puzzle. Journal of Finance 70, 1903-
1948.
o Yamani, E., A., Swanson, P., E., 2014. Financial crises and the
global value premium: Revisiting Fama and French. Journal of
International Financial Markets, Institutions and Money 33, 115-
136.

9. Plagiarism Plagiarism is defined as inserting words/sentences/ideas belonging to other
author/s in part or in whole without refering to the sources. Students must
indicate the source of any words/sentences from other author/s in his/her
writing.
Plagiarism also refers to the copying in part or in whole other student’s
assignment, or copying from books, journals, web, magazines, news papers, etc.
Plagiarism includes also the act of auto-plagiarism defined as the use of one’s
own words/sentences/ ideas taken from other assignment/paper that have been
submitted for grading in other or the same course without any reference to
its/their source/s.
In accordance to the disiplinary rules and code of ethics for students as indicated
ont the Guidebook of FEBUI, students are prohibited to conduct plagiarism, and
will be sanctioned/punished accordingly.
The sanctions/punishment are as follows:
• First time offense, the minimum sanction is a Zero (0) grade for the
assignment or maximum an F
• Second time offense, the grade for the course will be an F.
• Third time offense, the student will be expeled from Department of
Management, FEBUI.
Statement of
Authorship
It is mandatory that a Statement of Authorship must be included and posted on
the front page of the assigned paper.
Statement of Authorship
I/We.........................the undersigned declare to the best of my/our ability that
the paper/assignment herewith is an authentic writing carried out by
myself./ourselves. No other authors or work of other authors have been used
without any reference to its sources.
This paper/assignment has never been presented or used as paper’assignment
for other courses except if I/we clearly stated stated otherwise.
I/We fully understand that this assignment can be reproduced and/or
communicated for the purpose of detecting plagiarism.
Name :
Student’s ID Number :
Signature :
Course :

10. Paper/Asssignment Title:
Date :
Lecturer :
(signed by all and every single student if its a group assignment)