AI1177 Financial Econometrics 7.5 credits

Finansiell ekonometri

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Offering and execution

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Course information

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

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Literature and preparations

Specific prerequisites *

AI1178 Applied mathematics and statistics for economists.

Recommended prerequisites

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Equipment

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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

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

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Opportunity to raise an approved grade via renewed examination

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Examiner

Bertram Steininger

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/Banking and Finance

Main field of study *

Technology

Education cycle *

First cycle

Add-on studies

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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.