FIN9003 Econometric foundations for finance

ECTS credits: 7,5
Level of course:. PhD
Course type: Elective
Study location: Bodø.
Course coordinator:
Associate Professor Thomas Leirvik

Associate Professor Francisco Santos, NHH
Professor, Paul Søderlind, University of St.Gallen

Teaching language: English.

Duration: May 22-25, 2018 and August 20-26, 2018

Application deadline: April 6, 2018

Costs:No tuition fees. Costs for semester registration and course literature apply

Course evaluation: Evaluation using final survey.

Course description:

The course gives the student a fundamental understanding of both elementary and advanced econometric methods used in finance, with a focus on applications and research methods. The course gives the students a thorough introduction to topics such as event-studies, predictability of asset returns, factor models and the most appropriate method for a these, and other, topics. The course gives a thorough understanding of methods such as the least squares, the generalized method of moments, and maximum likelihood, and how such methods is applicable to topics in financial economics.

Learning outcomes:


The student will

  • Be in the forefront of knowledge within which methods are most suitable for assessing the main themes in the course, such as predictability of the returns on financial instruments.
  • Be able evaluate the purpose of the chosen methodology for specific research topics covered by the course, such as how to construct a factor model, and how to most suitably analyse such a model with econometric methods
  • Be able to contribute with new thoughts in the areas of securities pricing, factor models and portfolio allocation


The student should ...

  • Be able to formulate issues for, plan, and conduct research and professional work related to financial themes using econometrics
  • Be able to conduct research at a high international level using the most modern and relevant econometric methods that are appropriate for financial economics
  • Be able to handle complex academic issues and challenges in established knowledge for topics related to securities pricing, portfolio allocation and risk management

General competence

The student should ...

  • Be able to identify new and relevant issues in topics related to the dynamics of financial instruments, risk, return, and portfolio allocation
  • Be able to communicate research through recognized national and international channels, such as presentations at conferences and publishing articles based on methods reviewed in the subject
  • Be able to participate in debates in financial economics, and especially within topics related to applications of econometric methods and portfolio allocation


Must fulfill the requirements for admission to the PhD program

Recommended previous knowledge:

Not applicable.

Mode of delivery:


Learning activities and teaching methods:



Participating on both seminars is mandatory.

Presentation (PE): Pass/Fail (Pass to get a final grade in the course).

Paper: Grade A-F. Deadline September 29th, 2018.

Course literature and recommended reading

Lecture notes made available upon registration for the course.

Andrew Ang, Asset Allocation: a systematic approach to factor investing. Oxford University Press.

Recommended reading:

The Econometrics of Financial Markets (Campbell, Lo and MacKinley. Princeton University Press, last edition.

Deadline: April 6th, 2018