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About course

AI1177 Financial Econometrics 7.5 credits

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Choose semester and course offering

Choose semester and course offering to see information from the correct course syllabus and course offering.

Headings with content from the Course syllabus AI1177 (Spring 2021–) are denoted with an asterisk ( )

Content and learning outcomes

Course contents

  • Financial time series and data sources
  • Classical linear regression analysis
  • Descriptive statistics of financial and real estate time-series
  • Econometric analysis of univariate time-series
  • Econometric analysis of multivariate time-series
  • Time-varying parameters, volatility and correlations

Intended learning outcomes

After a passed course, the student should be able to:

  • Analyse the prices and returns of key economic time series with a focus on real estate and financial markets
  • Estimate linear univariate and multivariate econometric models for economic time series with statistical software
  • Perform predictions and hypothesis tests with statistical software
  • Interpret and analyse results that are based on econometric methods for time-series data

Course disposition

No information inserted

Literature and preparations

Specific prerequisites

Completed course: AI1178 Applied mathematics and statistics for economists.

Recommended prerequisites

No information inserted

Equipment

No information inserted

Literature

Jeffrey M. Perloff: Microeconomics: Theory and Applications with Calculus (latest edition recommended). Changes will be announced at least one month before the course starts.

Additional material distributed by the lecturer.

Examination and completion

If the course is discontinued, students may request to be examined during the following two academic years.

Grading scale

A, B, C, D, E, FX, F

Examination

  • INL1 - Assignment, 3.5 credits, grading scale: P, F
  • TEN1 - Written Exam, 4.0 credits, grading scale: A, B, C, D, E, FX, F

Based on recommendation from KTH’s coordinator for disabilities, the examiner will decide how to adapt an examination for students with documented disability.

The examiner may apply another examination format when re-examining individual students.

Re-examination for a higher grade: There is no possibility to retake already passed (A-E) exams.

Opportunity to complete the requirements via supplementary examination

No information inserted

Opportunity to raise an approved grade via renewed examination

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Examiner

Profile picture Bertram Steininger

Ethical approach

  • All members of a group are responsible for the group's work.
  • In any assessment, every student shall honestly disclose any help received and sources used.
  • In an oral assessment, every student shall be able to present and answer questions about the entire assignment and solution.

Further information

Course web

Further information about the course can be found on the Course web at the link below. Information on the Course web will later be moved to this site.

Course web AI1177

Offered by

ABE/Real Estate Economics and Finance

Main field of study

Technology

Education cycle

First cycle

Add-on studies

No information inserted