Seminar: Topics in Financial Econometrics (F)

Course content

The seminar allows students to obtain knowledge and gain experience within a specific field of research related to financial econometrics of their choice. Possible topics include, but are not limited to:

  • Term structure modeling
  • Bootstrap methods
  • Uni- or multivariate GARCH models, e.g., with application to portfolio selection and value at risk
  • Cointegrated VAR models
  • State space models and the Kalman filter
  • Tests of multi-factor asset pricing models or the CAPM
  • Option pricing with GARCH models.

 

The seminar paper can be both empirical or theoretical, but we highly encourage that students implement models and methods related to their topic numerically in a programming language of their choice, e.g., Matlab, R, Ox, or Python.  Students can also replicate the empirical results of journal articles, and discuss possible extensions and alternative approaches.

Education

MSc programme in Economics

The course is a part of the financial line, signified by (F)

 

The seminar is primarily for students at the MSc of Economics.

Learning outcome

In addition to the learning outcome specified in the Master curriculum the student is after completing the seminar expected to be able to:

 

Knowledge

  • Account for the properties of the models and methods relevant for the topic.
  • Discuss and criticize the literature related to the topic.
  • Account for the problems and applications that motivate the topic.
  • Critically reflect upon different methods for modeling financial market data.

     

Skills

  • Analyze and interpret theoretical/empirical results.
  • Chose and assess relevant journal articles within financial econometrics.

 

Competencies

  • Implement models empirically or validate theory numerically using a programming language.

At the seminar the student is trained independently to
- identify and clarify a problem,
- seek and select relevant literatur,
- write a academic paper,
- present and discuss own paper with the other students at the seminar.

The aim of the presentations is, that the student uses the presentation as an opportunity to practice oral skills and to receive feedback. The presentations is not a part of the exam and will not be assessed.

Mandatory activities in the seminar:
- Kick-off meeting
- Finding literatur and defining the project
- Writing process of the seminar paper
- Presentation of own project and paper
- Giving constructive feedback to another student´s paper
- Actively participating in discussions at the presentations and other meetings.

There is no weekly teaching/lecturing and the student cannot expect guidance from the teacher. If the teacher gives a few introduction lectures or gives the opportunity for guidance, this as well as other expectations are clarified at the kickoff meeting.

Process:
It is strongly recommended that you think about and search for a topic before the semester begins, as there is only a few weeks from the kick-off meeting to the submission of the project description/ agreement paper.

The seminar project paper must be uploaded in Absalon before the presentations, as the opponents and the other seminar participants have to read and comment on the paper. It is important that you upload a paper that is so finalized as possible due to the fact that the value of feedback and comments at the presentation is strongly associated with the skill level of the seminar paper.

After the presentations, you can with a few corrections improve the seminar paper by including the feedback and comments emerged during the presentations. It is NOT intended that you rewrite or begin the writing of the full project AFTER the presentation has taken place.

Students are expected to find relevant literature for their chosen topic. Textbooks/chapters that cover some of the topics are:

  • Tsay, R. S., Analysis of Financial Time Series, Wiley, 2005
  • Juselius, K., The Cointegrated VAR Model: Methodology and Applications, Oxford University Press, 2007.  
  • Chorro et al., A Time Series Approach to Option Pricing, Springer, 2015
  • Francq et al., GARCH Models: Structure, Statistical Inference and Financial Applications, Wiley, 2010
  • Ruiz et al., Bootstrapping Financial Times Series, Journal of Economic Surveys, 2002
  • Piazzesi, M., Affine Term Structure Models in the Handbook of Financial Econometrics, Elsevier, 2009

 

It is recommened that students have a sound knowledge of econometrics as in the course Econometrics II, and to have followed the course Financial Econometrics A before or at the same time as the seminar.

BSc in Economics or similar

Schedule of the seminar:

• Kick-off meeting: 4 September, 15.15-17.00
• Deadline of project description: not later than October 1 at 10AM or defined by the supervisors
• Deadline of pre-paper uploaded to Absalon: One week before presentation.
• Presentations: In week 46, November 2020. Exact dates is agreed on at the kick-off meeting

All information regarding the seminar is communicated through Absalon including venue. So it is very important that you by yourself logon to Absalon and read the information already when you are registered at the seminar.

Oral
Individual
Collective
Peer feedback (Students give each other feedback)

 

Each student receives individually oral feedback on the paper and at the presentation from peers and supervisor.

The supervisor gives the students collective oral feedback and individual guidance.

ECTS
7,5 ECTS
Type of assessment
Written examination
A seminar paper in English that meets the formal requirements for written papers stated in the curriculum of the Master programme and at KUNet for seminars.
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Aid
All aids allowed

for the seminar paper.

The teacher defines the aids that must be used for the presentations.

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Marking scale
7-point grading scale
Censorship form
External censorship
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Criteria for exam assessment

Students are assessed on the extent to which they master the learning outcome for the seminar and can make use of the knowledge, skills and competencies listed in the learning outcomes in the Curriculum of the Master programme.

 

To receive the top grade, the student must with no or only a few minor weaknesses be able to demonstrate an excellent performance displaying a high level of command of all aspects of the relevant material.

  • Category
  • Hours
  • Project work
  • 186
  • Seminar
  • 20
  • English
  • 206