AØKA08154U  Topics in Financial Time Series Econometrics (Financial Econometrics B)

Volume 2013/2014
Education
MSc in Economics
Content

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.

Learning Outcome

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.

Syllabus:
The course is based on selected papers and hand-outs provided during term. A full reading will be provided.
Supplementary reading:
Taylor, S.J., Asset Price Dynamics, Volatility and Prediction, Princeton University Press, 2005
Tsay, R., Analysis of Financial Time Series" Wiley, 2005.
A background in econometric methods as presented in e.g. "Financial Econometrics A". In particular, this includes likelihood-based analysis of univariate GARCH models.
Lectures every workday in week 33 to 35.
Credit
7,5 ECTS
Type of assessment
Continuous assessment
A total of three mandatory hand-in written assignments passed during term. If all assignments are passed, then the final grade will be 'passed'.
Aid
All aids allowed
Marking scale
passed/not passed
Censorship form
No external 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.
  • Category
  • Hours
  • Lectures
  • 42
  • Preparation
  • 164
  • Total
  • 206