BUS326 Applied Financial Econometrics
Showing course contents for the educational year 2022 - 2023 .
Course responsible: Torun Fretheim
Teachers: 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. Topics and problems takes as starting point hypotheses and theory in modern finance.
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 conduct econometric scientific analyses of financial and commodity markets.
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. It is required that the students bring their own llaptops to the exercise classes 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 updated on developments in the financial and commodity markets (equities, 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 econometrics software.
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.
1. Basic econometrics.
2. Basic investments and finance (BUS220 ior equivalent)
3. Investments and risk management (BUS322 or equivalent)
1. BUS322 and knowledge of financial databases such as Thomson Reuter Eikon.
2.Commodity markets and derivatives (BUS323 or equivalent)
3. Corporate finance (BUS315 or equivalent)
Three mandatory assignments evaluated as "accepted" is required for presenting oneself for the final written exam. The assignments may be written by groups of maximum three students.Valid subsequent year.
Final written 3.5 hours exam.
The course is for master students enrolled in the following programs: Master in Business and Administration, Master in Economics, Master Industrial Engineering and Management.
Type of course:
Lectures 2 hours per week. Exercise class 1 hour per week. It may be necessary to run some more intensive modules (4-6 hours)
The course is in English if there is one (or more) international student(s). 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.
Allowed examination aids: C1 All types of calculators, other aids as specified
Examination details: One written exam: Letter grades