This module applies statistical and econometric methods to analyse time series of prices and returns in the financial markets. This includes, but is not limited to, the estimation of expected returns on stocks, tests of return predictability, the modelling of risk and volatility, and the determination of returns based on factor fundamentals.
The aim of the module is to provide the student with the tools necessary to conduct advanced empirical studies of financial market data and to contribute to a deep understanding of the determinants of financial asset prices and returns.
The module also relies on the application of time series models in statistical software for the analysis of financial data.
The objective is that the student after the module possesses the necessary knowledge on:
The objective is that the student after the module possesses the necessary skills in:
The objective is that the student after the module possesses the necessary competences in:
For information see § 17.
|Name of exam
|Type of exam
Written or oral examIndividual examination.
|7-point grading scale
|Type of grading
|Criteria of assessment
|The criteria of assessment are stated in the Examination Policies and Procedures
|Language of instruction
|Location of the lecture
|Responsible for the module
|Study Board of Economics and Business Administration
|Aalborg University Business School
|Faculty of Social Sciences and Humanities