Financial Econometrics

FIE401 Financial Econometrics

Spring 2020

Autumn 2019
  • Topics

    This course introduces students to the main econometric methods and techniques. The course focuses on practical applications of econometrics to financial data using R (free programming language). The mathematics of econometrics is introduced only as needed and is not a central focus.

    Topics covered:

    • Introduction to R
    • Elements of statistics
    • Simple and multiple regression models
      • Possible application: CAPM and Fama-French three factor asset pricing models
    • Regression with a binary dependent variable
      • Possible application: Determinants of the choice of the mode of payment in M&As
    • Regression with panel data
      • Possible application: Capital structure regressions
    • Instrumental variables regression.
      • Possible application: CEO succession decision in family firms
    • Time series analysis
      • Possible application: Volatility of stock returns

  • Learning outcome

    KNOWLEDGE - The candidate...

    • understands what assumptions econometric models are based on;
    • knows the econometric methods necessary for doing empirical analysis in finance;
    • is able to use R for doing econometric analysis.

    SKILLS - The candidate...

    • will be able to conduct, interpret and critically deal with empirical studies in finance and related fields;
    • will be able to identify the advantages and disadvantages of the various methods and techniques;
    • will be able to understand the relationships between the theoretical concepts taught in finance class and their application in empirical studies;

    COMPETENCE - The candidate...

    • has the tools and knowledge necessary to define, design and deliver an academically rigorous piece of research.

  • Teaching

    The course consists of a combination of lectures and lab sessions where students learn to use R for financial data analysis. 

  • Restricted access

    None.  

  • Recommended prerequisites

    None.

  • Required prerequisites

    None.

  • Credit reduction due to overlap

    This course was taught before as FIE449 and FIE401A/B and cannot be combined with any of these courses.

    The course cannot be combined with BUS444 Økonometri for regnskap og økonomisk styring, BUS444E Econometrics for Business Research, BAN431 Econometrics and Statistical Programming, ECN402 Econometric Techniques.

  • Requirements for course approval

    Three assignments. Each team should have three to four members and hand in one solution per team. Assignments must be written in English and must be submitted in the same semester.

    Grading scale: Approved / Not Approved

  • Assessment

    The final grade has two components:

    1.    A three-day take-home exam in groups of three-four people. (60%)

    2.    Subsequent presentation in groups of three-four people including a question and answer session. Grades are individual. (40%)

     

    The course is taught in English, hence the take-home exam as well as the subsequent presentation must be in English.

     

    The three day take-home exam is held between 09:00 at the first day of examination and 14:00 on the third day of examination

  • Grading Scale

    Grading scale A - F.

  • Computer tools

    Participants should bring their laptops to the lectures. All applications covered in the course will be implemented in RStudio (an open-source software for R programming language). Download and installation instructions will be provided during the first lecture.

  • Literature

    Stock and Watson, Introduction to Econometrics, Global Edition, updated 3rd edition

    Florian Heiss, Using R for Introductory Econometrics

Overview

ECTS Credits
7.5
Teaching language
English
Semester

Autumn and Spring. Offered spring 2020

Course responsible

Assistant Professor Darya Yuferova (Spring), Assistant Professor Maximilian Rohrer (Autumn), Department of Finance, NHH