AØKA08216U Financial Econometrics A (F)

Volume 2015/2016
Education

Recommended elective course from 3. year at BSc in Economics
Elective at MSc in Economics
The course is part of the Financial line symbolized by "F"
MSc programme in mathematics-economics

Content

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.
Learning Outcome

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:
 

  1. Analyze and discuss classic univariate volatility models and volatility modeling in financial econometrics.
  2. Analyze and discuss stochastic properties of the models.
  3. 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.

Econometrics C or similar. This may be followed at the same time.
Schedule:

The course consists of 2 hours of classes (lectures) every week and 2x2 hours every second week and 2 hours of exercise classes every week for 14 weeks.

For enrolled students please find more information of courses, schedule, rules etc at
https:/​/​intranet.ku.dk/​economics_ma/​courses/​Pages/​default.aspx

Timetable and classroom:
For time and classroom please press the link under "Se skema" (See schedule) at the right side of this page (15E means 2015 Efterår (Autumn))
  • Category
  • Hours
  • Class Exercises
  • 28
  • Exam
  • 3
  • Lectures
  • 42
  • Preparation
  • 133
  • Total
  • 206
Credit
7,5 ECTS
Type of assessment
Written examination, 3 hours under invigilation
Individual written closed-book exam at the computers of Copenhagen University
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

The exam will take place 5 Januaryr 2015 at Peter Bangs Vej 36. 2000 Frederiksberg http:/​/​pc-eksamen.ku.dk/​pc_exam

For enrolled students more information about examination, exam/re-sit, rules etc. is available at the student intranet for Examination (English),student intranet for Examination (KA-Danish) and student intranet for Examination (BA-Danish).

Re-exam

Same as the ordinary exam. But if only a few students have registered for the re-exam, the exam might change to an oral exam. 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.