Financial Econometrics and Quantitative Methods in Finance

2020/2021

Prerequisite/Recommended prerequisite for participation in the module

Recommended academic prerequisites: The module builds on knowledge obtained at a BSc in Mathematics-Economics.

Content, progress and pedagogy of the module

Learning objectives

Knowledge

  • understanding of the most common estimation methods in econometrics.

  • knowledge about finite sample and asymptotic properties of the ordinary least squares estimator.

  • knowledge about method of moments estimators, e.g., the instrumental variables estimator.

  • knowledge about models for panel data, e.g., random effects and fixed effects estimators.

  • knowledge about models for discrete and limited dependent variables, e.g., censored data and sample selection.

  • knowledge about estimation of multivariate models and systems of equations.

  • knowledge about simulation methods for inference, e.g., Monte Carlo and bootstrapped tests.

Skills

  • are able to argue for the importance of using econometric/statistical methods in the analysis of a given economic problem.

  • are able to build econometric models and judge their applicability.

Competences

  • are able to demonstrate deep understanding of the theory of econometric models and know how to reason within the models.

  • are able to communicate the results of an econometric analysis to non-specialists.

  • are able to analyse economic data using the available software.

Type of instruction

Lectures, exercises, mini projects with student presentations.

Extent and expected workload

This is a 5 ECTS course module and the work load is expected to be 137,5 hours for the student.

Exam

Exams

Name of examØkonometri og kvantitative metoder inden for finansiering
Type of exam
Written or oral exam
Skriftlig eller mundtlig eller løbende evaluering
ECTS5
Assessment7-point grading scale
Type of gradingInternal examination
Criteria of assessmentThe criteria of assessment are stated in the Examination Policies and Procedures

Additional information

Please contact Study Board of Mathematical Sciences - studyboard@math.aau.dk

Facts about the module

Danish titleØkonometri og kvantitative metoder inden for finansiering
Module codeK-MØK3-FEQMF
Module typeCourse
Duration1 semester
SemesterAutumn
ECTS5
Language of instructionDanish and English
Empty-place SchemeYes
Location of the lectureCampus Aalborg
Responsible for the module

Organisation

Study BoardStudy Board of Mathematical Sciences
DepartmentDepartment of Mathematical Sciences
FacultyFaculty of Engineering and Science