Syllabus for Financial Econometrics

Finansiell ekonometri

  • 7.5 credits
  • Course code: 2ST119
  • Education cycle: Second cycle
  • Main field(s) of study and in-depth level: Statistics A1F

    Explanation of codes

    The code indicates the education cycle and in-depth level of the course in relation to other courses within the same main field of study according to the requirements for general degrees:

    First cycle

    • G1N: has only upper-secondary level entry requirements
    • G1F: has less than 60 credits in first-cycle course/s as entry requirements
    • G1E: contains specially designed degree project for Higher Education Diploma
    • G2F: has at least 60 credits in first-cycle course/s as entry requirements
    • G2E: has at least 60 credits in first-cycle course/s as entry requirements, contains degree project for Bachelor of Arts/Bachelor of Science
    • GXX: in-depth level of the course cannot be classified

    Second cycle

    • A1N: has only first-cycle course/s as entry requirements
    • A1F: has second-cycle course/s as entry requirements
    • A1E: contains degree project for Master of Arts/Master of Science (60 credits)
    • A2E: contains degree project for Master of Arts/Master of Science (120 credits)
    • AXX: in-depth level of the course cannot be classified

  • Grading system: Fail (U), Pass (G), Pass with distinction (VG)
  • Established: 2016-05-20
  • Established by: The Department Board
  • Revised: 2021-10-15
  • Revised by: The Department Board
  • Applies from: week 35, 2022
  • Entry requirements: 120 credits including 90 credits in statistics.
  • Responsible department: Department of Statistics

Learning outcomes

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.

Content

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.

Instruction

Teaching is given in the form of lectures and classes.

Assessment

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.

Other directives

The course is included in the Master's program in statistics.

Reading list

The reading list is missing. For further information, please contact the responsible department.