AØKK08442U Seminar: Econometric Models in Financial Applications (F)

Volume 2025/2026
Education

MSc programme in Economics

The course is a part of the financial line, signified by (F)

 

The seminar is primarily for students at the MSc of Economics.

Content

This seminar is designed to explore the intersection of macroeconomic theory and financial markets, with a focus on the practical application and empirical implementation of macroeconomic models used in the financial markets by hedge funds, banks, and investment firms.

 

The key proposition of this seminar is to effectively apply intuitive macroeconomic structures in financial markets. Hence, focus will be on the ability to leverage the structural decomposition of key drivers from macroeconomics and their application in a financial context.

 

Some examples:

  • Trading on the yield curve.
  • Portfolio optimization under different economic regimes.
  • Fiscal policy and the government bonds market.

 

The seminar emphasizes modelling, coding, and data analysis – requiring substantial programming skills. Students will independently select a topic, conduct research, and write a paper that combines theoretical and empirical analysis.

Learning Outcome

After completing the seminar the student is expected to be able to fulfill the learning outcome specified in the Master curriculum and to be able to:

 

Knowledge:

  • Understand relevant macroeconomic models and their application in financial markets.
  • Familiarize themselves with relevant literature in macroeconomic and financial econometrics.

 

Skills:

  • Implement and test macroeconomic models using programming tools (e.g. Python, MATLAB, R, Julia)
  • Conduct empirical analysis, interpret results, and critique methodologies.

 

Competences:

  • Develop custom financial models to analyze market risk, portfolio strategies, and economic scenarios.
  • Communicate research findings effectively in both written and oral formats.
  • Critically assess the strengths and limitations of different modelling approaches.

Suggested reading list:

  • Tsay, R.S: Analysis of Financial Time Series, Wiley, 2005.
  • Pedersen, Heje: Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined, 2015.
  • Baltas, Nick: Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules, and Pairwise Correlations.

 

Additionally, students are encouraged to explore journal articles that focus on the following topics:

  • Risk premia in financial markets.
  • Financial econometrics, volatility modelling, and asset pricing.
  • Macro-financial linkages and portfolio optimization under economic uncertainty.
BSc in Economics or similar
It is recommended to have participated in courses within the field of advanced econometrics, such as Financial Econometrics or Advanced Financial and Macroeconometrics.
Students receive individual guidance from the instructor.
Students prepare a draft assignment, which they present to the teacher and the other students. The students take turns acting as opponents during each other’s presentations. The feedback should especially focus on the written presentation in the draft assignment, with particular emphasis on the introduction.
Exact dates will be available in the seminar’s course room no later than 14 days before the start of the semester

• Kick-off meeting: Week 6 / 36. See exact date in Absalon.

• Additional meetings/introductory teaching/guidance: Optional. See Absalon.

• Deadline for submission of commitment paper/project description:
No later than February 28 / September 30.

• Deadline for uploading seminar paper draft in Absalon: No later than one week before the presentations. See exact date in Absalon.

• Presentations: In the period November 20 – December 11 for the autumn semester and May 1 – 23 for the spring semester.
See exact dates in Absalon.

• Common submission date for all seminars: December 20 at 10:00 for the autumn semester and June 1 at 10:00 for the spring semester.
  • Category
  • Hours
  • Project work
  • 186
  • Seminar
  • 20
  • Total
  • 206
Written
Oral
Individual
Continuous feedback during the course of the semester
Peer feedback (Students give each other feedback)
Credit
7,5 ECTS
Type of assessment
Home assignment
Type of assessment details
Individual or in groups of up to 3.
A seminar paper of 15 standard pages for one person, 22.5 standard pages for 2 and 30 standard pages for 3 students.
See further exam information in the Masters Programme Curriculum.
Examination prerequisites

Attendance in all seminar activities as stated in the Master curriculum.

Reexam: Hand in and have approved a synopsis.

Aid
All aids allowed

Use of AI tools is permitted. You must explain how you have used the tools. When text is solely or mainly generated by an AI tool, the tool used must be quoted as a source.

Marking scale
7-point grading scale
Censorship form
External censorship
Exam period

The seminar paper must be uploaded in Digital Exam.

Common submission date for all seminars: December 20 at 10:00 for the autumn semester and June 1 at 10:00 for the spring semester.

For enrolled students more information about examination, rules, aids etc. is available at the intranet for  Master (UK) and  Master (DK ).

Re-exam

Individual seminar paper of 15 standard pages. See further exam information in the Masters Programme Curriculum.

Deadline and more information is available at  MSc in Economics - KUnet

More information about reexam etc. is available at  Master(UK) and  Master(DK).

Criteria for exam assesment

Students are assessed on the extent to which they master the learning outcome for the seminar and can make use of the knowledge, skills and competencies listed in the learning outcomes in the Curriculum of the Master programme.