Course Overview

This course provides the review of empirical methods applied in a quickly growing field of financial econometrics. The course concentrates on describing and modelling stylized facts found in return and volatility time series. The important financial models (CAPM, APT) are discussed from the empirical point of view as well.

Learning Achievement

Qualification targets: Upon successful completion of the module "Financial Econometrics" students should be able to understand and to use modern econometric techniques for modelling financial processes. Understanding of models used in Empirical Finance. Imparted soft skills: Analytical thinking, Independent studying and learning, Critical thinking

Competence

Qualification targets: Upon successful completion of the module "Financial Econometrics" students should be able to understand and to use modern econometric techniques for modelling financial processes. Understanding of models used in Empirical Finance.

Course prerequisites

At least one graduate course in Econometrics.

Grading Philosophy

100 % Written exam (90 min)

Course schedule

Week1: Introduction
Week 2: followed by Week 3 to the Final Week

Course type

combination of lecture and tutorial

Online Course Requirement

communication platform: moodle

Instructor

Prof. Dr. Vasyl Golosnoy

Other information

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