AØKA08216U Financial Econometrics A
MSc in Economics
An outline of the contents:
- Properties and stylized facts of univariate asset returns and their variability.
- Analysis and discussion of volatility models such as GARCH-type models and stochastic volatility (SV) models as well as realized volatility (RV) and switching volatility models. In particular, stochastic properties of the processes will be discussed.
- Estimation of volatility and volatility models based primarily on (quasi) maximum likelihood. This includes application of the EM-algorithm as well as the Kalman-filter.
Applying and understanding volatility models such as the
well-known ARCH, GARCH and stochastic volatility models require a
background of fundamental methodological concepts such as
estimation, stochastic properties of time series as well as simple
programming. The aim of the course is to provide students with an
introduction to these issues in financial time series analysis such
that, on the one hand, volatility models can be implemented and
discussed, while at the same time advanced financial econometric
models can be approached. This is achieved by analyzing
implementation and theory of univariate volatility models.
After completion of the course the student will specifically be
able to:
- Analyze and discuss classic univariate volatility models and volatility modeling in financial econometrics.
- Analyze and discuss stochastic properties of the models.
- Implement estimation of volatility and volatility models.
Syllabus
The course will be based on S. J. Taylor, Asset Price Dynamics,
Volatility and Prediction, Princeton University Press, 2007 or 2005
edition, as well as lecture notes by Anders Rahbek handed out
during term.
Supplementary reading: Tsay, Analysis of Financial Time Series.
Wiley, 2005.
- Category
- Hours
- Class Exercises
- 28
- Exam
- 3
- Lectures
- 42
- Preparation
- 188
- Total
- 261
- Credit
- 7,5 ECTS
- Type of assessment
- Written examination, 3 hours under invigilationA 3 hours written examination taking place at Peter Bangs Vej 36.
- Exam registration requirements
- During the semester there will be a number of small hand-in exercises that have to be accepted.
- Aid
- Without aids
- Marking scale
- 7-point grading scale
- Censorship form
- External censorship
20 % censorship
- Exam period
- Will be updated before the start of the semester
- Re-exam
- Same as ordinary. But if only a few students have registered for the re-exam, the exam might change to an oral exams with a synopsis to be handed in. This means that the examination date also will change.
Criteria for exam assesment
The Student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.
Course information
- Language
- English
- Course code
- AØKA08216U
- Credit
- 7,5 ECTS
- Level
- Full Degree MasterBachelor
- Duration
- 1 semester
- Placement
- Autumn
- Schedule
- Autumn (week 36-50)
- Continuing and further education
- Price
320 DKK per ECTS
- Study board
- Department of Economics, Study Council
Contracting department
- Department of Economics
Course responsibles
- Anders Rahbek (13-6b786e6f7c7d387c6b726c6f754a6f6d797838757f386e75)
Lecturers
Autumn 2014:
Class 1: Philipp Christian Kless
Hold 2: Christian Duffau
Class 3: Philipp Christian Kless