Empirical and Quantitative Methods in Finance

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.

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.

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.