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MSc in Economics and Finance - Advanced Economics and Finance

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/sites/ChoicesAndOptions/SitePages/en/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
2025/2026
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