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

Knowledge

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.

Skills

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.

Competences

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.

Exam

Prerequisite for enrollment for the exam

• Submission of the written assignment

Exams