Entry requirements

A Bachelor's degree, equivalent to a Swedish Kandidatexamen, from an internationally recognised university. Also required is 90 credits in statistics and the course Econometric Theory and Methodology, 15 credits.

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.