Course - Empirical and Quantitative Methods in Finance - TIØ4317
Empirical and Quantitative Methods in Finance
About
About the course
Course content
In this course we discuss common empirical and quantitative approaches in financial econometrics. The course is split into three parts. Part 1: Descriptive statistics and statistical inference, cross-sectional data, simple linear regression, multiple linear regression, post estimation diagnostic tests. Part 2: Time series data, ARIMA, GARCH, principal component analysis, vector autoregressions, term structure models. Part 3: Risk measures and portfolio optimization.
Learning outcome
Position and function within the study program: This is an elective course in the 8. semester of the MTIØT program, and is part of the qualification for the specialization in Financial Engineering. It builds on TIØ4145 Corporate Finance. We make use of the knowledge gained in the compulsory courses in mathematics, statistics and information technology, and in TIØ4118 Industrial Economical Analysis. The course fits well with TIØ4140 Project Evaluation and Financing. It contributes to the learning objective of the MTIØT program, point 4.1, Portfolio selection, Financial risk measurement and management, Financial econometrics. The course will convey the following knowledge: -The theoretical foundation regarding analysis of financial data, portfolio optimization and risk management, practical usage of software and databases, how to write empirical master thesis and academic papers. The course will give understanding of methods of analysing and processing of financial data using econometric models.
Learning methods and activities
Lectures and exercises. The students need to get excercies approved in order get acess to the exam. Detailed rules about exercises will be given with the start of semester. The course will be given in English. All material will be in English.
Compulsory assignments
- Exercises
Further on evaluation
If there is a re-sit examination, the examination form may change from written to oral.
Recommended previous knowledge
TIØ4145 Corporate Finance.
Course materials
Brooks C. (2019), Introductory Econometrics for Finance, Cambride University Press
Tsay R.S. (2010), Analysis of Financial Time Series, Wiley
Credit reductions
| Course code | Reduction | From |
|---|---|---|
| FIN3002 | 7.5 sp | Autumn 2007 |
| FIN3008 | 5 sp | Autumn 2023 |
| FIN8608 | 5 sp | Autumn 2023 |
Subject areas
- Technological subjects
- Economics
Contact information
Course coordinator
Lecturers
Department with academic responsibility
Department of Industrial Economics and Technology Management