AU kursuskatalog arkiv

5647: Applied Time Series and Financial Econometrics ( efterår 2011 - 10 ECTS )

Rammer for udbud

• Uddannelsessprog: engelsk
• Niveau: Elective project-based MSc/IMSQE course (2147)  
• Semester/kvarter: Autumn 2011  
• Timer per uge: 4 lectures a week for 4-5 weeks to present particular topics relevant for the participating students projects. Subsequently, ad-hoc lectures will be given depending upon the specific needs of the students. Timetables can be found at: http://econ.au.dk/studies/teaching-and-examination/teaching/timetables/
• Deltagerbegrænsning:
• Undervisningssted: Århus
• Hovedområde: Det Samfundsvidenskabelige Fakultet
• Udbud ID: 28668

Formål

LEARNING OBJECTIVES:

After having followed the course the students should be able to

• formulate an interesting economic or financial problem to be analyzed empirically by time series methods
• collect the relevant data and can evaluate the data quality
• evaluate that the empirical approach chosen satisfactorily combines the problem to be analyzed and the chosen econometric methods
• apply the relevant modern time series methods and techniques to scrutinize the economic problem at hand
• apply the relevant computer software program(s) to solve empirical problems and interpret the computer output
• formulate the results of the analysis in a written report that is clearly written in a correct scientific language.

Indhold

COURSE DESCRIPTION: The purpose of the course is to provide students with practical experience of tools and techniques (both statistical and computational) in time series and financial econometrics to analyze economic and/or financial problems empirically. The course builds upon 2116: Time Series Econometrics and/or 4091: Empirical Finance where a thorough theoretical presentation is given of a range of quantitative tools from time series and financial econometrics. Students (working in groups) are expected to define an empirical problem for which the quantitative methods are relevant for analysis. At the beginning of the semester the lectures will concentrate on providing the students with additional topics in time series and financial econometrics that are relevant for the chosen project themes. Examples of possible advanced topics in time series analysis include non-linear econometrics (e.g. regime-switching and smooth transition models), State-space models, advanced topics in cointegration analysis, long memory modeling, and topics in models of seasonality. In financial econometrics possible topics include GMM estimation of asset pricing models, Hansen-Jagannathan bounds, and tests of present value models using vector-autoregressions, conditioned CARM models with time ranging betas.

It is an integral part of the course that students learn mastering relevant soft-ware packages to be used for their projects such as Ox, PcGive, Stamp or other programs. Students are advised to follow the course 3195: Advanced Programming in Quantitative Economics in the beginning of the semester.

A far from non-exhaustible list of potential empirical project themes include

• wage-price models
• modeling the demand for money
• modeling employment/unemployment
• present value models in economics and finance
• modeling the term structure of interest rates
• volatility modeling in financial markets
• consumption based asset pricing
• stock return predictability
• modeling causality among economic variables
• quantitative risk management (e.g. VaR)

The actual choice of a project theme (and thus the relevant literature) depends upon the interests of the individual students.

COURSE SUBJECT AREAS:

• 1. Specialized topics in time series and/or financial econometrics reflecting the preferences and topics chosen by students.

Faglige forudsætninger

REQUIRED COURSES (progression):4616: Time Series Econometrics or 4391: Empirical Finance

Underviser

LECTURERS: Niels Haldrup

Undervisnings- og arbejdsform

TEACHING METHOD: Classroom lectures concentrated in the beginning of the semester  and regular consultation meetings with the teachers. Additional lectures may be given depending upon the needs and the background of the students.

TEACHING LANGUAGE:   English

Litteratur

LITERATURE:

Articles and book chapters depending upon the project topics decided by the students (total of approximately 450 pages).

Bedømmelse

• Mundtlig, bedømt efter 7-skala med ekstern censur
5 xxxxx

FORM OF ASSESSMENT: Oral exam based on project report (app. 20 min) without preparation.

EXAMINATION AIDS ALLOWED: All - except any means of electronic communication including calculators, mobile phones and PC's.