Teaching starts Autumn

Language of instruction English

Recommended previous knowledge It is assumed that students have prior knowledge corresponding to ME-408 Econometrics. The course will require use of statistical software (STATA/MATLAB).

Learning outcomes Upon completion of the course the student should: be able to perform time series operations, and compute historical return recognize stylized facts about financial data (fat tails, non-stationarity etc) have a profound understanding of financial time series be able to combine financial theory with financial data conduct empirical investigations on their own CAPM-tests Factor models Efficiency-tests event-studies estimating volatility models

Course contents In this course we will combine finance theory and econometric techniques and introduce students to quantitative research. Students will be provided with appropriate quantitative and econometric framework for estimation and testing of financial models. Results in the empirical literature will be discussed. Topics that may be covered in the course are: statistical properties of asset returns, tests for market efficiency and asset return predictability, the estimation and testing of asset pricing models such as the capital asset pricing model, factor models, modelling of present value relationships, estimation of time varying volatility and implications for option pricing and value-at-risk etc.

Teaching methods The course consists of regular lectures. Students will also conduct and present their own empirical studies.

Assessment methods and criteria Mandatory assignments comprising 40% of the final grade, and 3-hour written examination comprising 60% of the same. Graded marks.

Type of course Theoretical

Level of course Graduate

Year of study Normally fifth year

Name of lecturer/contact person Head of Department Andre Tofteland or Academic International Coordinator Oddmund Wallevik

Mode of delivery Face-to-face