This module covers further topics in financial econometrics not included in Econometrics III. The main focus is on regime switching and state space models, basic panel data analysis, limited dependent variable models, simulation methods, as well as event studies, tests of the CAPM and the Fama-French methodology, and some other methods used in financial applications. The aim of the module is to teach students to understand and apply appropriate methods to time series and panel data, as well as critically evaluate the use of these methods in financial and economic research.
The modules contains practical assignments for different topics based on economic and financial data to provide students with a hands-on experience in applying various models with statistical software.
The objective is that after the module the students can:
The objective is that after the module the students can:
The goal is that after the module the students are able to:
Name of exam | Financial Econometrics |
Type of exam | Written or oral exam
Individual |
ECTS | 5 |
Assessment | Passed/Not Passed |
Type of grading | Internal examination |
Criteria of assessment | The criteria of assessment are stated in the Examination Policies and Procedures |
Danish title | Finansiel økonometri |
Module code | KAØKO202222 |
Module type | Course |
Duration | 1 semester |
Semester | Autumn
|
ECTS | 5 |
Language of instruction | English |
Location of the lecture | Campus Aalborg |
Responsible for the module |
Education owner | Master of Science (MSc) in Economics |
Study Board | Study Board of Economics (cand.oecon) |
Department | Aalborg University Business School |
Faculty | Faculty of Social Sciences and Humanities |