- 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
AI1177 Financial Econometrics 7.5 credits
Information per course offering
Choose semester and course offering to see current information and more about the course, such as course syllabus, study period, and application information.
Information for Spring 2025 Start 17 Mar 2025 programme students
- Course location
KTH Campus
- Duration
- 17 Mar 2025 - 2 Jun 2025
- Periods
- P4 (7.5 hp)
- Pace of study
50%
- Application code
60499
- Form of study
Normal Daytime
- Language of instruction
Swedish
- Course memo
- Course memo is not published
- Number of places
Places are not limited
- Target group
- No information inserted
- Planned modular schedule
- [object Object]
- Schedule
- Schedule is not published
- Part of programme
Contact
Bertram Steininger (bertram.steininger@abe.kth.se)
Course syllabus as PDF
Please note: all information from the Course syllabus is available on this page in an accessible format.
Course syllabus AI1177 (Spring 2021–)Content and learning outcomes
Course contents
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
Literature and preparations
Specific prerequisites
Completed course: AI1178 Applied mathematics and statistics for economists.
Recommended prerequisites
Equipment
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
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
Opportunity to raise an approved grade via renewed examination
Examiner
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.