Financial Econometrics

About the course

Emner

Mikroøkonomi Makroøkonomi International økonomi Statistik Kvantitativ metode Finansiering

Course content

The aim of the course is to provide the students with an understanding of models and estimation methods within the field of time series econometrics. The course will provide both a theoretical and an applied (hands on) angle on the topic. Practical aspects will be discussed and statistical properties will be proved. Linear, nonlinear, conditional heteroskedasticity, and multivariate models will be considered. Applications in finance and macroeconomics will be discussed.

The course builds on a standard introductory course in econometrics. Knowledge of fundamental concepts of mathematics and statistics is required. The students need to be familiar with matrix notation.

See course description in course catalogue

What you will learn

Explain time Series econometric models for inference and predictions within macroeconomic and, in particular, financial applications
Interpret and analyze estimation output within a time Series framework.
Build and read time series econometric code and output in econometric packages
Individually set-up, run and interpret a relevant project using the software of the course (the skills needed for the final exam project paper).

Course prerequisites

This is a mandatory course for the MSc in Advanced Economics and Finance. It is assumed that students have knowledge similar to the course KAN-COECO1058U Econometrics . The course has 60 contact hours and there is a high level of interaction between lecturer and students, and in general a high work load. To sign up send a 1-page motivational letter, a 1-page CV, and a grade transcript to ily.stu@cbs.dk before the registration deadline for elective courses. You may find the registration deadlines on my.cbs.dk ( https://studentcbs.sharepoint.com/graduate/pages/registration-for-electives.aspx ). Please also remember to sign up through the online registration.

Facts

Level

Kandidat

Type

Obligatorisk fag – også udbudt som valgfag

ECTS

7,5

Code

CEADO2004U

Teaching periods

Forår – semester

Academic year

2024/2025

Status

Available places

Teaching language

English

Teaching Format

Hybrid

Exams

Skriftlig opgave
Individual exam, sommer
Skriftlig eksamen på campus
Individual exam, forår

Assessment type

7-trins skala