Emnet er tilknyttet følgende studieprogram

Undervisningsspråk

English.

Anbefalte forkunnskaper

SE-412 Quantitative Financial Economics or equivalent.

Innhold

This course aims at deepening and extending the understanding of and practical experience with econometric models used in finance. Through a mix of theory and hands-on applications using STATA, students will experience the merits as well as the limitations of econometric methods for finance.

A discussion of key techniques of statistical inference provides the conceptual basis of the course. Covering point- and interval estimation, methods for obtaining estimators, as well as tests of hypotheses, examples will draw on the multiple linear regression model introduced in the methods course. Basic concepts of monte-carlo simulation will be discussed and exemplified by problems related to the multiple linear regression context. Advanced techniques of model diagnoses ranging from graphical residual analysis to formal tests of underlying assumptions and specification testing will be introduced and practiced. A section on forecasting completes the treatment of the multiple linear regression model.

Next, univariate linear time series models will be introduced and used for forecasting. A first look at multivariate time series models is provided by a discussion of vector autoregressive models and associated concepts as impulse response functions and variance decomposition. Three econometric techniques for modeling the long-run will be discussed: error correction models, Hendry's residual based approach, and Johansen's VAR based approach. The section on volatility (ARCH, GARCH) will provide a first look at non-linear time series models before a thorough treatment of statistical techniques and models for panel data terminates the course.

Læringsutbytte

On successful completion of this course the student should be able to

  • demonstrate knowledge of econometric methods used in finance

  • carry out research projects in empirical economic and finance based on the critical awareness of the merits as well as the limits of econometric work in economics in general, and in finance in particular

  • use innovative and interdisciplinary problem solving capacities when facing complex and unfamiliar classes of empirical problems

  • carry out a research-based diagnosis of econometric problems by combining complex knowledge from the areas of finance, statistics and mathematics

  • interpret and communicate econometric analyses to specialists as well as to non-specialist audiences

Vilkår for å gå opp til eksamen

Approved compulsory assignments. Information will be given in Canvas at the start of the semester.

Undervisnings- og læringsformer

Lectures with integrated exercises in the computer lab using STATA. Group work in computer lab on finance related projects/assignments. Estimated workload is about 200 hours.

Studentevaluering

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.

Tilgang for privatister

No

Eksamen

Graded assignments (40 %) and 3 hour written exam (60 %). Letter grades.

Reduksjon i studiepoeng

Innholdet i dette emnet dekkes helt eller delvis av annet emne. Tas ett av disse emnene i tillegg, reduseres studiepoengene som følger:

Emne Studiepoengreduksjon
ME-408 – Econometrics 5
SE-419 – Financial Econometrics 2.5
Sist hentet fra Felles Studentsystem (FS) 1. juli 2024 02:28:39