Course code BUS326

BUS326 Applied Financial Econometrics.

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Showing course contents for the educational year 2018 - 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: Study year 2017-2018
Preferential right:
Masters degree students in Business Administration.
Course contents:

The course will cover econometric analysis of financial and commodity markets as well as analysis of Financial accounting data and other micro/macro economic data. The course will also discuss how to write and present academic papers in the area of financial econometrics. 

Topics that will be taught in the course (the list can be extended):

  • Descriptive analysis of returns and risk
  • Regressionanalysis, both cross, time series, and panel data
  • Quantile regression
  • Analysis of volatility and correlation (ARCH, GARCH)
  • Analysis of stationarity and co-integration
  • Regimeswitch models
  • Paneldata methods
  • Logit/Probit-models
  • Simulation models
  • How to write and present empirical finance papers
Learning outcome:


The candidate will establish fundamental knowledge within modern empirical analysis of finance- and commodity markets, accounting data, and other (micro/macro) economic data. The candidate will get training in developing empirical term papers that gives a foundation for master and PhD thesis, as well as quantitative analysis in the financial sector.


The candidate will after the course be able to download data from databases such as Datastream plus develop econometric analysis of financial markets, accounting data, and other economic data using Excel and other software.

General competence

The candidate will after finishing the course be familiar with concepts and problems within empirical methods in finance and economics as well as be acquaintant to collecting data, developing econometric analysis and present results.

Learning activities:
The course will be a mix of traditional lectures and practical exercises. The students should bring their own laptop to the lectures and make themselves familiar with relevant data and econometric software within empirical analysis of finance and commodity markets, accounting data, and general micro/macro economic data. The students should also be updated with the news regarding the development in financial markets (stocks, bonds, fx, commodities) as well within industries and the general economy.
Teaching support:
- Material will be put out at studen tweb and/or Facebook. Students get access to Datastream and it is assumed that they will actively use this database. Students choose to use Excel, Eviews, Stata, R or other tools in their analysis of data.


Brooks C., Introductory Econometrics for Finance, Cambridge university press

Additional literature:

Carol Alexander, Market Risk Analysis, Wiley

Basic understanding of finance, statistics/econometrics/microeconomics. Basic knowledge of Excel.
Recommended prerequisites:
Knowledge of Financial databases such as Datastream or Bloomberg.

Exam based on theory (counts 50%). Individual term paper and presentation (counts 50%).

It will not be organized re-sit exam in this course.  

Nominal workload:
300 hours
Entrance requirements:
Bachelor in  Business or Economics
Reduction of credits:



Type of course:
Ca 60 hours of lectures and computerlabs (including presentation of students term paper). Exam rating / term paper rating: A - E / Not approved
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