Seminar: Econometric Models in Financial Applications (F)
Course content
This seminar is designed to explore the intersection of macroeconomic theory and financial markets, with a focus on the practical application and empirical implementation of macroeconomic models used in the financial markets by hedge funds, banks, and investment firms.
The key proposition of this seminar is to effectively apply intuitive macroeconomic structures in financial markets. Hence, focus will be on the ability to leverage the structural decomposition of key drivers from macroeconomics and their application in a financial context.
Some examples:
- Trading on the yield curve.
- Portfolio optimization under different economic regimes.
- Fiscal policy and the government bonds market.
The seminar emphasizes modelling, coding, and data analysis – requiring substantial programming skills. Students will independently select a topic, conduct research, and write a paper that combines theoretical and empirical analysis.
The course is a part of the financial line, signified by (F)
The seminar is primarily for students at the MSc of Economics.
After completing the seminar the student is expected to be able to fulfill the learning outcome specified in the Master curriculum and to be able to:
Knowledge:
- Understand relevant macroeconomic models and their application in financial markets.
- Familiarize themselves with relevant literature in macroeconomic and financial econometrics.
Skills:
- Implement and test macroeconomic models using programming tools (e.g. Python, MATLAB, R, Julia)
- Conduct empirical analysis, interpret results, and critique methodologies.
Competences:
- Develop custom financial models to analyze market risk, portfolio strategies, and economic scenarios.
- Communicate research findings effectively in both written and oral formats.
- Critically assess the strengths and limitations of different modelling approaches.
Students receive individual guidance from the instructor.
Students prepare a draft assignment, which they present to the
teacher and the other students. The students take turns acting as
opponents during each other’s presentations. The feedback should
especially focus on the written presentation in the draft
assignment, with particular emphasis on the
introduction.
Suggested reading list:
- Tsay, R.S: Analysis of Financial Time Series, Wiley, 2005.
- Pedersen, Heje: Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined, 2015.
- Baltas, Nick: Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules, and Pairwise Correlations.
Additionally, students are encouraged to explore journal articles that focus on the following topics:
- Risk premia in financial markets.
- Financial econometrics, volatility modelling, and asset pricing.
- Macro-financial linkages and portfolio optimization under economic uncertainty.
It is recommended to have participated in courses within the field of advanced econometrics, such as Financial Econometrics or Advanced Financial and Macroeconometrics.
BSc in Economics or similar
Exact dates will be available in the seminar’s course room no
later than 14 days before the start of the semester
• Kick-off meeting: Week 6 / 36. See exact date in Absalon.
• Additional meetings/introductory teaching/guidance: Optional. See
Absalon.
• Deadline for submission of commitment paper/project description:
No later than February 28 / September 30.
• Deadline for uploading seminar paper draft in Absalon: No later
than one week before the presentations. See exact date in Absalon.
• Presentations: In the period November 20 – December 11 for the
autumn semester and May 1 – 23 for the spring semester.
See exact dates in Absalon.
• Common submission date for all seminars: December 20 at 10:00 for
the autumn semester and June 1 at 10:00 for the spring
semester.
For enrolled students: More information about registration, schedule, rules etc. can be found at Master (UK) and Master (DK ).
More information about seminars is available at Seminars (UK) and Seminars (DK).
Read about the study programme and curricula at MSc in Economics
- ECTS
- 7,5 ECTS
- Type of assessment
-
Home assignment
- Type of assessment details
- Individual or in groups of up to 3.
A seminar paper of 15 standard pages for one person, 22.5 standard pages for 2 and 30 standard pages for 3 students.
See further exam information in the Masters Programme Curriculum. - Examination prerequisites
-
Attendance in all seminar activities as stated in the Master curriculum.
Reexam: Hand in and have approved a synopsis.
- Aid
- All aids allowed
Use of AI tools is permitted. You must explain how you have used the tools. When text is solely or mainly generated by an AI tool, the tool used must be quoted as a source.
- Marking scale
- 7-point grading scale
- Censorship form
- External censorship
- Exam period
-
The seminar paper must be uploaded in Digital Exam.
Common submission date for all seminars: December 20 at 10:00 for the autumn semester and June 1 at 10:00 for the spring semester.
For enrolled students more information about examination, rules, aids etc. is available at the intranet for Master (UK) and Master (DK ).
- Re-exam
-
Individual seminar paper of 15 standard pages. See further exam information in the Masters Programme Curriculum.
Deadline and more information is available at MSc in Economics - KUnet
More information about reexam etc. is available at Master(UK) and Master(DK).
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.
- Category
- Hours
- Project work
- 186
- Seminar
- 20
- English
- 206
Kursusinformation
- Language
- English
- Course number
- AØKK08442U
- ECTS
- 7,5 ECTS
- Programme level
- Full Degree Master
- Duration
-
1 semester
- Placement
- Spring And Autumn
- Capacity
- One class of up to 20 students
- Studyboard
- Department of Economics, Study Council
Contracting department
- Department of Economics
Contracting faculty
- Faculty of Social Sciences
Course Coordinators
- Mads Fries Thorndahl (3-736c7a466f6c787534717b346a71)
- Frederik Findsen (4-6b776b6e45696e33707a336970)
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Courseinformation of students