Uusi opinto-opas (sisältäen myös opetusohjelmat) lukuvuodelle 2018-2019 sijaitsee osoitteessa https://opas.peppi.utu.fi . Tältä sivustolta löytyvät enää vanhat opinto-oppaat ja opetusohjelmat.

The new study guide (incl. teaching schedules) for academic year 2018-2019 can be found at https://studyguide.utu.fi. This site contains only previous years' guides.

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Arkistoitu opetussuunnitelma 2016–2018
Selaamasi opetussuunnitelma ei ole enää voimassa. Tarkista tiedot voimassa olevasta opetussuunnitelmasta.
LT013084 LRS34 Financial Econometrics 6 op
Organised by
Accounting and Finance
Person in charge
Mika Vaihekoski
Planned organizing times
Period(s) I II III IV
2017–2018 X X
Preceding studies
LR05, TKMY3, and LRS22/TKM7/KT35 Ekonometrian peruskurssi (Econometrics 1) or similar have to be completed.

Learning outcomes

Students learn how to test financial theories and hypotheses using econometric methods. Students have the ability to evaluate empirical research in finance.

Contents

This course covers econometric and statistical methods as applied to finance. Linear regression, models for panel data, time series modeling, volatility modeling, event study methodology, high frequency data analysis, and simulation.

Teaching methods

Teaching method Contact Online
Lectures 24 h 0 h

Lectures in English, 16 h (Jan Antell) and 8 h (Mika Vaihekoski). Taught intensively during periods III and IV in a Computer Lab.

Teaching language

English

Modes of study

Option 1
Available for:
  • Degree Programme Students
  • Other Students
  • Doctoral Students
  • Exchange Students
Exercise(s)
  • In English
Participation in classroom work
  • In English

Evaluation and evaluation criteria

Numeric 0-5.
0-5 based on the final project and home assignments.

Recommended year of study

4th or 5th

THIS COURSE IS NOT OFFERED IN THE ACADEMIC YEAR 2016-17. THIS COURSE IS OFFERED MOST LIKELY EVERY OTHER YEAR.

Study materials

1. TSAY, RUEY S. Analysis of Financial Time Series. Wiley 2005 (2ndedition) or 2010 (3rdedition).
2. Financial Econometrics. From Basics to Advanced Modeling Techniques. Rachev et al./Wiley Finance, 2007.
3. LIM, KIAN GUAN Financial Valuation and Econometrics. World Scientific 2011.
Supplementary material for the exam or for the course.
Other material required and/or distributed by the lecturer.

Further information

THIS COURSE IS NOT OFFERED IN THE ACADEMIC YEAR 2016-17. THIS COURSE IS OFFERED MOST LIKELY EVERY OTHER YEAR.

The course will be arranged only if there is at least 10 enrolled students.

Belongs to following study modules

Laskentatoimen ja rahoituksen laitos
Laskentatoimen ja rahoituksen laitos
Laskentatoimen ja rahoituksen laitos
Valinnaiset opintojaksot (Laskentatoimi ja rahoitus)
Laskentatoimen ja rahoituksen laitos
Laskentatoimen ja rahoituksen laitos
Valinnaiset opintojaksot (Laskentatoimi ja rahoitus)
Laskentatoimen ja rahoituksen laitos
Laskentatoimen ja rahoituksen laitos
2016–2017
Teaching
Archived Teaching Schedule. Please refer to current Teaching Shedule.
Implementation details are unavailable.
Laskentatoimen ja rahoituksen laitos