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A220A0000 Financial Econometrics, 6 cr 
Code A220A0000  Validity 01.08.2011 -
Name Financial Econometrics  Abbreviation Financial Econo 
Credits6 cr   
TypeBasic studies  
ClassCourse   
  Grading scaleStudy modules 0-5,P/F 
  Eligibility for post-graduate studiesno
    Allowed to study several timesno
Organisation LUT School of Business and Management 

Teachers
Name
Jan Stoklasa 

Description by Study Guide
Note 

Location: Lappeenranta

Additional requirements for doctoral students: read Mikosch, T., Kreiß, J., Davis, R. A., & Andersen, T. G. (2009). Handbook of Financial Time Series. Springer eBooks – selected part(s) after consulting with the teacher in charge, term paper will be written by the student on the selected advanced topic.

If the course enrollment is more than the course maximum, then students are accepted in the following order: students from the MSF and MBAN programmes, other master's programme students, other students.

 
Year 

M.Sc. (Econ. & Bus. Adm.) 2

 
Period 

1

 
Teaching Language 

English

 
Teacher(s) in Charge 

D.Sc. (Tech.) Jan Stoklasa

 
Aims 

At the end of this course a student is expected to have a concise overall understanding of the mechanisms behind the econometrics models covered in the course so that he/she:
-    Is able to describe the main ideas of the models and methods and assess the appropriateness of their use in specific application cases, incl. the testing of assumptions of the models
-    Is capable of formulating the main questions of his/her empirical research in terms of the econometrics models and their parameters
-    Is able to select appropriate methods for the given practical application in financial data analysis and construct appropriate econometrics models and assess their quality
-    Is able to design econometrics models for financial data prediction (in case of time series)
-    Is able to interpret the outputs of the econometrics models in the context of financial data analysis
-    Is able to use the methods and their outputs to explain phenomena in financial data and to assess hypothesis concerning financial data
-    Is able to utilize the models in financial theory building and assessment as well as in time series analysis and prediction and financial data analysis in general.
-    Is able to implement the designed econometrics models in MATLAB using its econometrics package.
The models covered in this course include for example:
Classical linear regression models, univariate time series models, ARMA processes, multivariate time series models, models for simultaneous equations systems, vector autoregressive (VAR) model, ARCH and GARCH-type models.

 
Contents 

This course deepens students’ knowledge on empirical research methods in financial econometrics. The focus is on the empirical techniques used most often in the analysis of financial markets and how they are applied to actual market data.The course is designed to give advanced-level (Master) knowledge of financial econometrics – that is to provide sufficient insight in the financial econometrics models and hypothesis testing and practical experience with building models for financial econometrics in MATLAB. The course covers four different areas in econometrics: 1) univariate and multivariate statistical analyses, 2) time series models, 3) modeling volatility and correlation, 4) modeling long-run relationships in financial markets. The students will use MATLAB econometrics package to run analyses.

 
Teaching Methods 

Lectures & exercises: 36 h, period 1. Preparation for lectures and exam: 64 h, period 1. home assignments: 60 h, period 1. Total workload: 160 h.

 
Suitability for doctoral studies (Yes/Leave empty) 

Yes

 
Examination in Examination schedule (Yes/No) 

Yes

 
Examination in Moodle (Yes/No) 

No

 
Examination in Exam (Yes/No) 

No

 
Assessment scale and assessment methods 

Grade 0-5, on the basis the exam (50%) and home assignments (50%). Students are required to achieve 50 percent of the maximum points in both.

 
Course Materials 

1. Brooks, Chris: Introductory econometrics for finance. Cambridge, 2002 or newer (Text book) 2. Handouts in class and all additional material required by the lecturer 3. MATLAB materials available on the mathworks www-site

 
Prerequisites 

Required: BM20A4301 Johdatus tekniseen laskentaan or BM20A5001 Principles of technical computing Compulsory bachelor’s level courses in finance and economics.

 
Limitation for students? (Yes, number, priorities/Leave empty) 

Yes, 80. Priority is given in the following order: students from the MSF and MBAN programmes, other master's programme students, other students.

 
Places for exchange-students? (Yes, number/No) 

No

 
Places for Open University Students?(Yes, number/No) 

No

 


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