Please note! Course description is confirmed for two academic years (1.8.2018-31.7.2020), which means that in general, e.g. Learning outcomes, assessment methods and key content stays unchanged. However, via course syllabus, it is possible to specify or change the course execution in each realization of the course, such as how the contact sessions are organized, assessment methods weighted or materials used.
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 ( http://www.r-project.org/); know how to interpret statistical results correctly and draw appropriate conclusions; be able to critically evaluate empirical academic research in finance.
Schedule: 28.10.2020 - 11.12.2020
Teacher in charge (valid 01.08.2020-31.07.2022): Matthijs Lof
Teacher in charge (applies in this implementation): Matthijs Lof
Contact information for the course (applies in this implementation):
CEFR level (applies in this implementation):
Language of instruction and studies (valid 01.08.2020-31.07.2022):
Teaching language: English
Languages of study attainment: English
CONTENT, ASSESSMENT AND WORKLOAD
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
Exercises (50%) and exam (50%)
Classroom hours, 24 h
Class preparation, 48 h
Preparing exercise sets, 50 h
Exam preparation, 37 h
Exam, 3 h
Course material will be provided by the lecturer.
Rahoituksen perusteet or Principles of Corporate Financial Management,
Econometrics for Finance (28C00200) or Econometrics (30C00200), or equivalent
SDG: Sustainable Development Goals
4 Quality Education
8 Decent Work and Economic Growth
- Teacher: Matthijs Lof