Course code BUS326

BUS326 Applied Financial Econometrics.

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Showing course contents for the educational year starting in 2019 .

Course responsible: Sjur Westgaard
ECTS credits: 10
Faculty: School of Economics and Business
Teaching language: EN, NO
(NO=norsk, EN=Engelsk)
Limits of class size:
-
Teaching exam periods:
This course starts in Autumn parallel 2019. This course has teaching/evaluation in the autumn parallel.
Course frequency: Annually
First time: 2017H
Course contents:

The course will address key themes and econometric issues in the analysis of data from financial and commodity markets, - shares, bonds, options and futures, as well as accounting data and other micro / macroeconomic data. How to write and present an academic paper / assignment is also central to the course.

The econometric topics addressed will be (the list is not exhaustive and could be changed)

  • Descriptive analysis
  • Regression analysis
  • Principal component analysis
  • Simulation models / numerical techniques
  • Factor Models
  • Analysis of volatility (ARCH, GARCH)
  • Analysis of stationarity and co-integration
  • Copulas
  • Quantile Regression
  • Logit / Probit models
  • Regime switch models
  • Evaluation of models in-sample and out-sample
  • Valuation models for fixed income instruments and derivatives
  • Analysis of implicit volatility
  • Models for risk analysis (parametric models, historical simulation, monte carlo simulation models)
  • Risk analysis of option portfolios
  • Model Risk
  • Scenario analysis and stress testing
Learning outcome:

Knowledge

In this course, the candidate will acquire key  knowledge in modern empirical analyzes of financial and commodity markets, accounting data, and other (micro / macro) economic data. The candidate will receive training in preparing empirical terms that form the basis for further work with the master and any PhD assignments, as well as quantitative analyzes as employed in the financial sector.

Skills

After completing the course, the candidate should be able to download data from databases such as Datastream and from other databases, and be able to conduct econometric analyzes of financial markets, accounting data and other financial data with Excel and / or other software.

General competence:

After completing the course, the candidate should be familiar with concepts, expressions and issues within empirical methods in finance and economics and have a solid understanding of how to collect data, perform econometric analyzes and present them in writing and orally.

Learning activities:
The course will consist of a mixture of traditional lectures and practical exercises. It is assumed that the students bring their own laptop on the lectures and that during the course the students are familiar with the use of available data and software for empirical analysis of financial and commodity markets, accounting data and other economic data. It is further assumed that the students are actively and continuously informed about developments in the financial and commodity markets (shares, options, futures, interest rates, currency, oil prices, electricity prices etc.) as well as companies associated with different industries and developments in the economy in general.
Teaching support:
Various materials and software will be posted on Canvas and / or Facebook. Students get access to Datastream and are required to use this database actively. Students choose Excel, Eviews, Stata, R or other data analysis Tools.
Syllabus:
Alexander C., Market Risk Analysis, Wiley (4 volume textbooks) + various hand-outs, articles and websites. Reference is also made to other textbooks as background Readings.
Prerequisites:
Basic finance and financial investments and risk management corresponding to BUS322. It is also recommended that the students are familiar with Excel
Recommended prerequisites:
Knowledge of Financial databases such as Datastream or Bloomberg.
Mandatory activity:
Presentation of syllabus and data case.
Assessment:
Grade A-F. Home exam based on theory (counts 50%) and independent individual term paper (counts 50%). Both home exam and individual term paper must be passed to pass the course. There will be no re-sit examination in this subject.
Nominal workload:
300 hours
Entrance requirements:
The course is for master students enrolled in the following programs: Master in Business and Administration, Master in Economics, Master Industrial Engineering and Management.
Reduction of credits:
The course overlap 5 credits with ECN301.
Type of course:

Ca 60 hours of lectures and computerlabs (including presentation of students term paper).

The course is given as 4 collections of 2 intensive days (total of 8 days).

Note:
The course is in English if there are one or more international students. Incoming students can contact student advisors at the School of Economics and Business (studieveileder-hh@nmbu.no) for admission to the course. 
Examiner:
External examiner will control the quality of syllabus, questions for the final examination, and principles for the assessment of the examination answers.
Examination details: Continuous exam: A - E / Ikke bestått