AØKA08154U Summerschool 2017: Financial Econometrics B - Topics in Financial Time Series Econometrics (F)
MSc programme in Economics – elective course
The course is part of the Financial line in Economics symbolized by "F".
This course introduces topics from research in financial time series econometrics. For each topic, the econometric methods are discussed and illustrated by empirical applications. Topics are selected from within: Econometric Modeling of Asset Returns: - Multivariate GARCH models with application to portfolio selection and value at risk (VaR). - Test of market efficiency: Asset return predictability.
Static and Dynamic Asset Pricing Models: - The capital asset pricing model (CAPM) and the asset pricing theory (APT) model. - Term structure models, including co-integration.
High-Frequency Modeling: - Continuous time methods - Autoregressive conditional duration (ACD), and integer valued financial time series models.
This course introduces topics from research in financial time series econometrics. For each topic, econometric methods are discussed and illustrated by empirical applications. After completion of the course the student will have obtained a fundamental knowledge of central econometric modeling as applied in research within financial econometrics. For each topic treated this will include: - The ability to analyze the financial econometric models such that their properties are well-understood from a methodological point of view. This will include theory for estimation and testing, dynamic properties and linkage with applied literature. - The ability to implement the econometric models in applied work and interpret the results empirically and theoretically.
The topics covered, e.g. multivariate volatility modeling, asset pricing models and term structure models, will vary from year to year.
The course is based on selected papers and hand-outs provided
during term. A full reading will be provided.
Taylor, S.J., Asset Price Dynamics, Volatility and Prediction, Princeton University Press, 2005
Tsay, R., Analysis of Financial Time Series" Wiley, 2005.
Monday: 9-12, 13-15
Tuesday: 9-12, 13-15
Wednesdays: No teaching
Thursday: 9-12, 13-15
Friday: 9-12, 13-15
Timetable and venue:
To see the time and location of the lectures please press the link:
-Select Department: “2200-Økonomisk Institut” (and wait for respond)
-Select Module:: “2200-B5-5F17; [Name of course]”
-Select Report Type: “List – Week Days”
-Select Period: “Efterår/Autumn – Weeks 31-5”
Press: “ View Timetable”
for enrolled students. More information about registration, schedule, rules, courses etc. can be found at the student intranet (KUnet) for courses (English) andstudent intranet (KUnet) for courses (Danish).
Registration and information for foreign students not enrolled please find more information at Study Economics.
- 7,5 ECTS
- Type of assessment
- Continuous assessmentWritten assignmentA total of three mandatory hand-in written assignments passed during term. If all assignments are passed, then the final grade will be 'passed'.
The exam assignment is given in English and can be answered in English or in Danish. Language must be chosen at the course registration.
- Exam registration requirements
Full participation at the summerschool is mandatory and the student must actively participate in all activities.
- All aids allowed
- Marking scale
- passed/not passed
- Censorship form
- No external censorship
- Exam period
During the summerschool the three assignments must be handed in at the deadlines.
Same as ordinary.
Criteria for exam assesment
Students are assessed on the extent to which they master the learning outcome for the course.