[Forside] [Hovedområder] [Perioder] [Udannelser] [Alle kurser på en side]
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.
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 of financial data.
REQUIRED COURSES:
4388: Derivatives and risk management, 3620: Econometrics.
LECTURER:
Bent Jesper Christensen.
TEACHING METHOD:
Lectures and home work problems.
LITERATURE:
Campbell, Lo & MacKinlay: The Econometrics of Financial Markets. Princeton University Press, 1997
Christensen and Kiefer: Economic Modeling and Inference, Princeton University Press, 2009
In addition articles, lecture notes, etc.
Total number of pages not exceeding 950.
FORM OF ASSESSMENT:
Take-home exam (8 hours) and oral exam (20 minutes)
Examination requirements: Before taking the oral exam the student must take the take-home exam and 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. The oral exam covers all areas of the course, including material from lectures, readings, home work problems, and take-home exam. Participation in the reexamination is conditional on participation in the preceding ordinary examination.
EXAMINATION AIDS ALLOWED: All.
