Applied Financial Econometrics

The course gives an introduction to empirical finance and builds on the courses SØK3001 and FIN3003. The course includes procedures for statistical analyses of financial data, quantification of models for financial markets, and empirical analyses of some relationships between financial and real variables. In the course different models and estimating techniques relevant for empirical finance are presented. The course includes estimating and testing the basic capital market models, models for long run relationships, regime shift, volatility, and discrete outcomes.

The students should be able to quantify models for financial markets and to do statistical analyses on financial data.

2 hours of lectures every week. One compulsory term paper. The course can be taught in English if requested.