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2016/2017  KAN-COECO1056U  Financial Econometrics

English Title
Financial Econometrics

Course information
Language English
Course ECTS 7.5 ECTS
Type Mandatory offered as elective
Level Full Degree Master
Duration One Semester
Start time of the course Spring
Timetable Course schedule will be posted at calendar.cbs.dk
Study board
Study Board for MSc in Advanced Economics and Finance
Course coordinator
  • Chandler Lutz - Department of Economics (ECON)
Contact information: https:/​/​e-campus.dk/​studium/​kontakt
Main academic disciplines
  • Economics
Last updated on 23-02-2017
Learning objectives
To achieve the grade 12, students should meet the following learning objectives with no or only minor mistakes or errors:
  • Understand Time Series Econometric models for inference and predictions within macroeconomic and financial applications
  • Interpret and analyze estimation output within a Time Series framework.
  • Relate Time Series Econometric Code and output in econometric packages
Course prerequisites
This is a mandatory course for the MSc in Advanced Economics and Finance. It is assumed that students have knowledge similar to the course KAN-COECO1058U Econometrics .

The course has 60 contact hours and there is a high level of interaction between lecturer and students, and in general a high work load.

To sign up send a one-page motivational letter, a one-page CV, and a grade transcript to oecon.eco@cbs.dk no later than 12 December 2016. Please also remember to sign up through the online registration.
Examination
The exam in the subject consists of two parts:
Financial Econometrics - midterm:
Sub exam weight50%
Examination formWritten sit-in exam
Individual or group examIndividual exam
Assignment typeWritten assignment
Duration2 hours
Grading scale7-step scale
Examiner(s)One internal examiner
Exam periodSpring
Aids allowed to bring to the examLimited aids, see the list below:
  • Written sit-in-exam on CBS' computers
  • Approved calculators: HP 10bII+ and Texas BA II Plus
  • Dictionaries (only some, see specification below)
Make-up exam/re-exam
Same examination form as the ordinary exam
If the number of registered candidates for the make-up examination/re-take examination warrants that it may most appropriately be held as an oral examination, the programme office will inform the students that the make-up examination/re-take examination will be held as an oral examination instead.
NOTE: The retake exam is a written exam irrespective of the number of students registered for the exam.
Description of the exam procedure

Only language dictionaries allowed.

 

Allowed calculators are:

• HP 10bII
• Texas BA II Plus

Financial Econometrics - final:
Sub exam weight50%
Examination formWritten sit-in exam
Individual or group examIndividual exam
Assignment typeWritten assignment
Duration2 hours
Grading scale7-step scale
Examiner(s)One internal examiner
Exam periodSummer
Aids allowed to bring to the examLimited aids, see the list below:
  • Written sit-in-exam on CBS' computers
  • Approved calculators: HP 10bII+ and Texas BA II Plus
  • Dictionaries (only some, see specification below)
Make-up exam/re-exam
Same examination form as the ordinary exam
If the number of registered candidates for the make-up examination/re-take examination warrants that it may most appropriately be held as an oral examination, the programme office will inform the students that the make-up examination/re-take examination will be held as an oral examination instead.
NOTE: The retake exam is a written exam irrespective of the number of students registered for the exam.
Description of the exam procedure

Only language dictionaries allowed.

Allowed calculators are:

• HP 10bII
• Texas BA II Plus

 

Computer based exam. Software will be available: R and Microsoft Office.
Course content and structure

The aim of the course is to provide the students with an understanding of models, estimation methods within the field of time series econometrics. The course will provide both a theoretical and an applied (hands on) angle on the topic. Practical aspects will be discussed and statistical properties will be proved. Linear, conditional heteroskedasticity, and multivariate models will be considered. The  course builds on a standard introductory course in econometrics. Knowledge of fundamental concepts of mathematics and statistics is required. The students need to be familiar with matrix notation.
Teaching methods
Lectures and computer based exercise classes.

Approximately 2.5 hours of lecture/week and 2.5 hours of lab/week. We'll most likely mix lectures and lab, so please bring a laptop to all classes and labs. The class will be taught with an R bent.
Student workload
Lectures 60 hours
Exam 4 hours
Preparation 142 hours
Further Information

Part of this course may also be taken as a PhD course for a limited number of PhD students.
Expected literature

Indicative:

 Main textbook:

  • Ruey S. Tsay, (2010), ”Analysis of Financial Time Series”, 3rd Edition, Wiley
  • Hamilton, J. D. (1994), "Time series analysis, Volume 2", Princeton University Press

For introductory material, see the undergraduate textbooks by Stock and Watson or Wooldrigde.
Last updated on 23-02-2017