Credits: 6

Schedule: 30.10.2019 - 13.12.2019

Teacher in charge (valid 01.08.2018-31.07.2020): 

Assistant Professor Matthijs Lof

Teaching Period (valid 01.08.2018-31.07.2020): 

II (fall 2018) Töölö campus

II (fall 2019) Otaniemi campus


Learning Outcomes (valid 01.08.2018-31.07.2020): 

By the end of the course, students will be familiar with various econometric methods for analyzing financial data; be able to implement these methods using the R language (; know how to interpret statistical results correctly and draw appropriate conclusions; be able to critically evaluate empirical academic research in finance.

Content (valid 01.08.2018-31.07.2020): 

The course starts with a short review of the linear regression model. Students are expected to be already familiar with these concepts.  The remainder of the course will cover topics in empirical finance research. These topics include methods to deal with endogeneity in corporate finance (e.g. instrumental variables, differences-in-differences), tools for time series analysis and forecasting (e.g. AR and VAR models, predictive regressions, out-of-sample forecasting), and modelling market volatility (e.g. GARCH, realized volatility).  All topics will be illustrated by financial applications, including stock return predictability, empirical testing of the CAPM and other asset pricing models, and Value-at-Risk.

Assessment Methods and Criteria (valid 01.08.2018-31.07.2020): 

Exercises (50%) and exam (50%)

Workload (valid 01.08.2018-31.07.2020): 

Classroom hours, 24 h
Class preparation, 48 h
Preparing exercise sets, 50 h
Exam preparation, 37 h
Exam, 3 h

Study Material (valid 01.08.2018-31.07.2020): 

Course material will be provided by the lecturer.

Course Homepage (valid 01.08.2018-31.07.2020): 

MyCourses 28E34700 Advanced Econometrics for Finance

Prerequisites (valid 01.08.2018-31.07.2020): 

Econometrics for Finance (28C00200), Econometrics (30C00200), or equivalent

Grading Scale (valid 01.08.2018-31.07.2020): 


Registration for Courses (valid 01.08.2018-31.07.2020): 

Course and exam registration via WebOodi. See the registration time in WebOodi.

For any registration related matter, please contact the department study coordinator.

Further Information (valid 01.08.2018-31.07.2020): 

A maximum of 70 students can be accepted to the course.

- Students at Aalto Finance M.Sc. programme (i.e. who have graduated as B.Sc.) will be guaranteed a seat on Finance M.Sc. courses. Finance M.Sc. students re-taking the course (grade already registered in WebOodi) will not be prioritized and can participate only if there are places remaining.

- CEMS students are similarly guaranteed a seat for Finance M.Sc. courses, which have been designated as CEMS courses.

Remaining seats are prioritized as follows, in the order of registration in WebOodi within one category:
1. Finance M.Sc. exchange students from other universities
2. Aalto Finance B.Sc. students with a finished B.Sc. thesis (registered in transcript of records)
3. All other M.Sc. students

Please follow carefully the registration deadlines of the courses and exams! Missing registration deadline automatically foregoes a guaranteed seat for Finance M.Sc. courses and puts prospective student at the bottom of the prioritization list.

Students may be required to confirm their registration by signing the participation list circulated during the first lecture.


Registration and further information