course-details-portlet

BMAC8103 - Empirical Finance

About

Lessons are not given in the academic year 2020/2021

Course content

This course is intended to introduce PhD students to a variety of research perspectives in empirical finance. In particular, the course focuses on several econometric approaches, where the technical specifications of models are accompanied by practical examples from the relevant academic literature. In particular, several versions of GARCH model specifications, along with factor models, panel data, and stochastic models for yield curves are explained in detail. In each case, the lectures include useful hints concerning computational steps and implementation. In practical applications, students get acquainted with techniques for predicting asset returns and consumption-based asset pricing.

Learning outcome

Knowledge: The course will fix theoretical aspects of various econometrics models: factor models, GARCH specifications, yield curve models and panel data analysis. Students will learn implementation aspects of these models. They will get acquainted with the most popular techniques for predicting asset returns and consumption-based asset pricing.

Skills: At the end of the course, students will achieve programming skills from the implementation of the above mentioned models. They will also develop analytical skills from the critical assessment of related articles. Writing skills: Students will be able to interpret their results in the group paper.

Competence: After the course, students will be able to select and apply suitable econometric models to their own research; Communicate and interpret results; Be critical to relevant literature in the area finance.

Learning methods and activities

Students will be assisted with the implementation of problem sets, which will be defined in class after each module. Students are encouraged to work in groups on problem sets and relevant papers that will be distributed in class.

Students are encouraged to bring along at the class own laptops with one of the programming softwares: Matlab, R, Julia or similar.

Further on evaluation

The examination consists of a term paper based on group works. Students team up to implement the models learned at the class and apply them to real world problems.

Required previous knowledge

General finance knowledge, statistics and econometrics courses at master's level.

More on the course

No

Facts

Version: 1
Credits:  3.0 SP
Study level: Doctoral degree level

Coursework

No

Language of instruction: English

Location: Trondheim

Subject area(s)
  • Business Economics
  • Financial Economics
  • Economics and Administration
  • Economics
  • Management Accounting and Control
Contact information

Department with academic responsibility
NTNU Business School

Phone:

Examination

  • * The location (room) for a written examination is published 3 days before examination date. If more than one room is listed, you will find your room at Studentweb.
Examination

For more information regarding registration for examination and examination procedures, see "Innsida - Exams"

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