The course offers an introduction to financial econometrics for second-cycle studies. It covers the main parts of the spectrum of quantitative financial economics, discusses important results in the empirical finance literature, and provides a comprehensive knowledge to do empirical work in financial practice. A student who has taken the course should: - have a solid knowledge about basic themes in financial econometrics; - know and be able to use concepts and notation that is frequently used in financial econometrics; - be able to conduct empirical applications of financial theory based on real financial data using statistical/econometric techniques; - be able to interpret empirical results and raise sensitivity for problems and pitfalls in imperial studies.
Statistical properties of asset returns. Asset return predictability and market efficiency. Capital asset pricing model. Multi-factor models and the arbitrage pricing theory. Present value relations. Term structure of interest rates. Modelling time-varying volatility and risk. Market microstructure analysis.
Teaching is given in the form of lectures and classes.
The examination takes place through a (take-home) written examination at the end of the course and compulsory written assignments. The grading scales are: failed, passed and passed with distinction.
The course is included in the Master's program in statistics.