SE-506 Advanced Econometrics for Finance
- ECTS Credits:
- 7.5
- Responsible department:
- School of Business and Law
- Course Leader:
- Joachim Arnold Jungeilges
- Lecture Semester:
- Autumn
- Teaching language:
- English.
- Duration:
- 1 term
The course is connected to the following study programs
- Master's Programme in Business Administration
- Master's Programme in Business Administration (5 years)
Teaching language
English.Recommended prerequisites
SE-414 Econometrics for Finance or equivalent
Course contents
This course is tailored to the needs of advanced graduated students of economics and finance. It augments the students knowledge of econometric methods for finance by focussing on financial time series analysis which is concerned with the theory and practice of asset valuation. The statistical knowledge necessary to reach a firm understanding of inferential procedures (estimation and testing) suitable in the context of financial models is provided. The practical skills needed to implement such techniques are build by (i) studying cases taken from the applied finance literature and (ii) by challenging the students through in-class projects involving real life financial data. Topics covered include: characteristics of financial time series, advanced linear time series analysis, conditional heteroscedastic models, non-linear time-series analysis, continuous time modeling, alternative approaches to Value at Risk (econometric, extreme value), multivariate times series, principal component/factor analysis, multivariate GARCH models, Kalman filtering and Markov-Chain-Monte-Carlo methods.
Learning outcomes
On successful completion of this course the student should be able to demonstrate:
-
an understanding of financial time series.
-
an ability to combine financial theory with financial data and identify salient features of financial time series.
-
ability to subject financial theories to empirical testing in a critical manner and report the results to specialists and non-specialists alike.
Teaching methods
Lectures and group sessions (students present their project work).
Evaluation
The study programme manager, in consultation with the student representative, decides the method of evaluation and whether the courses will have a midterm- or end of term evaluation, see also the Quality System, section 4.1. Information about evaluation method for the course will be posted on Canvas.
Admission for external candidates
No
Assessment methods and criteria
Students have to write a paper which accounts for 100% of the final grade. Letter grades.
Reduction of Credits
This course’s contents overlap with the following courses. A reduction of credits will occur if one of these courses is taken in addition:
| Course | Reduction of Credits |
|---|---|
| BE-510 – Empirical Finance | 2.5 |