AU kursuskatalog arkiv

4729: Advanced Financial Econometrics ( forår 2009 - 10 ECTS )

Rammer for udbud

• Uddannelsessprog: engelsk
• Niveau: COURSE LEVEL: Elective MSc/IMSQE/PhD course.  
• Semester/kvarter: SEMESTER FOR WHICH THE COURSE DESCRIPTION APPLIES: Spring 2009.  
• Timer per uge: NUMBER OF HOURS PER WEEK: 10 concentrated full days of approximately 5 hours of lectures each, spread out in 5 separate 2-day sessions, supplemented by project work during the semester. This is equivalent to 48 lectures.  
• Deltagerbegrænsning: RESTRICTIONS ON ADMISSION: None.  
• Undervisningssted: Århus
• Hovedområde: Det Samfundsvidenskabelige Fakultet
• Udbud ID: 15629

Formål

LEARNING OBJECTIVES:

On successful completion of the course, the students are able to:

· Solve and generalize discrete and continuous time models for stocks, bonds, options, foreign exchange, and corporate finance
· Apply and reflect on econometric tools for the analysis of financial markets and individual firm policies
· Theorise and hypothesise on the alternative numerical approaches and data possibilities available
· Compare and contrast more and less efficient methodologies
· Explain and reflect on own solutions to financial problems posed during course.

Indhold

COURSE DESCRIPTION:

Students are provided with a firm understanding of the
econometric methods used in empirical finance research. Both theoretical finance models and econometric methods are introduced, and the emphasis is on the interplay between the two. The course covers discrete time as well as continuous time models; markets for stocks, bonds, interest rates, and options; corporate finance and event studies; market microstructure; tests of asset pricing and option pricing models in discrete and continuous time; multivariate regression analysis, generalized method of moments, efficient method of moments, maximum likelihood, nonparametric methods, cross-sectional, time series and panel methods; cointegration, autoregressive conditional heteroskedasticity (ARCH) and GARCH
(generalized ARCH); diffusion models; implied, realized and stochastic volatility, forecasting, filtering; arbitrage and equilibrium models, dynamic programming, numerical optimization, finite difference methods, Monte Carlo methods; bootstrap.

COURSE SUBJECT AREAS:

- Stocks, bonds, options, foreign exchange
- Corporate finance, event studies
- Market microstructure
- Discrete and continuous time models
- Arbitrage and equilibrium models
- Econometric tools for financial markets and individual firm policies
- Numerical methods
- Analysis financial data.

Faglige forudsætninger

REQUIRED COURSES:

4078: Investments, 7020: Econometrics.

Underviser

LECTURER:

Bent Jesper Christensen.

Undervisnings- og arbejdsform

TEACHING METHOD:

Lectures and home work problems.

Litteratur

LITERATURE:

Campbell, Lo & MacKinlay: The Econometrics of Financial Markets. Princeton University Press, 1997

Cochrane: Asset Pricing. Princeton University Press, 2001.
In addition articles, lecture notes, etc.

Total number of pages not exceeding 950.

Bedømmelse

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

FORM OF ASSESSMENT:

Oral exam (20 minutes)

Examination requirements: Before taking the oral exam the student must complete all the five compulsory home work problems assigned during the course. Assignments are only offered in the term where the course is taught. The assignments are to be solved in a group of two to four students unless exemption is granted. The assignments are evaluated internally on a pass/fail basis. The purpose of the assignments is to test the student in one or more learning objectives in depth, in particular in topics not well-suited for the oral examination. The oral exam tests the student's ability to meet the learning objectives by random check. Participation in the reexamination is conditional on participation in the preceding ordinary examination.

EXAMINATION AIDS ALLOWED: All.