BUS326 Applied Financial Econometrics
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Showing course contents for the educational year 2021 - 2022 .
Course responsible: Ole Gjølberg
ECTS credits: 5
Faculty: School of Economics and Business
Teaching language: EN
Limits of class size:
Teaching exam periods:
This course starts in Autumn parallel. This course has teaching/evaluation in the autumn parallel.
Course frequency: Annually
First time: Study year 2020-2021
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 descriptive analysis, regression analysis, time series models, analysis of stationarity and co-integration, models for volatility and correlation.
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.
After completing the course, the candidate should be able to download data from databases such as Thomson Reuter Eikon 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.
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.
The course will consist of a mixture of traditional lectures and practical exercises. Most of the theory lectures will be provided as video lectures. There will be three 2 days seminars where we go through data collection and usage of statistical software together. It is assumed that the students bring their own laptop on the seminars 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.
Various materials and software will be posted on Canvas and / or Facebook. Students get access to Thomson Reuter Eikon and are required to use this database actively. Students choose Excel, Eviews, Stata, R or other data analysis tools. In the course Excel and Eviews will mainly be used.
Brooks C., Introductory Econometrics for Finance, Cambridge University Press + various hand-outs, articles and websites. Reference is also made to other textbooks as background readings.
A background in basic econometrics is required. In addition BUS322 or similar is required. Recommended: BUS323 Commodity Market Analysis and BUS 315 Corporate Finance.
BUS322 and knowledge of financial databases such as Thomson Reuter Eikon.
Combinded assessment. Semester assignment with presentation (50%) and 3.5 hours written exam during the exam period (50%).
There will not be any retake exam in the course.
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:
There is some overlap of some topics in ECN301.
Type of course:
Digital lectures 2 hours per week.
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 (firstname.lastname@example.org) for admission to the course.
External examiner will control the quality of syllabus, questions for the final examination, and principles for the assessment of the examination answers.
Examination details: :