Financial Econometrics


Content, progress and pedagogy of the module

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.

Learning objectives


The objective is that after the module the students can:

  • describe the most frequently used approaches in financial and economic data analysis beyond time series and vector autoregression models.
  • explain the main elements of the considered approaches.
  • discuss which of the considered methodologies should to be appropriately used in various applications and why.


The objective is that after the module the students can:

  • design and apply an appropriate approach for analysis of provided time series or panel data.
  • use the considered methodologies to test financial and economic theories.
  • analyze the obtained results regarding their robustness, relevance and limitations.


The goal is that after the module the students are able to:

  • reflect upon the theoretical frame of reference to justify the choice of methodology to analyze financial and economic data.
  • understand and critically evaluate an empirical research which uses time series or panel data.
  • carry out a comprehensive empirical investigation on related topics.


Prerequisite for enrollment for the exam

  • Submission of the written assignment


Name of examFinancial Econometrics
Type of exam
Written or oral exam
AssessmentPassed/Not Passed
Type of gradingInternal examination
Criteria of assessmentThe criteria of assessment are stated in the Examination Policies and Procedures

Facts about the module

Danish titleFinansiel økonometri
Module codeKAØKO202222
Module typeCourse
Duration1 semester
Language of instructionEnglish
Location of the lectureCampus Aalborg
Responsible for the module


Education ownerMaster of Science (MSc) in Economics
Study BoardStudy Board of Economics (cand.oecon)
DepartmentAalborg University Business School
FacultyFaculty of Social Sciences and Humanities