FIN9003 Econometric foundations for finance

September - November, 2021

ECTS credits: 7,5​

Level of course:. PhD

Course type: Elective

Study location: Bodø.

Course coordinator: Associate Professor Thomas Leirvik

Faculty: Associate Professor Thomas Leirvik

Teaching language: English.

Duration: September – November

Application deadline: September 10, 2021

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:

Knowledge

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 analyze such a model with econometric methods

  • Be able to contribute with new thoughts in the areas of securities pricing, factor models and portfolio allocation

Skills

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

 

Prerequisites:

Must fulfill the requirements for admission to the PhD program

 

Recommended previous knowledge:

Not applicable.

 

Mode of delivery:

Face-to-face.

 

Learning activities and teaching methods:

Lectures 3 hours/week – total 36 hours.

 

Assessment::

Participating on seminars is mandatory.

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

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

Deadline paper January 15th, 2022.

 

Course literature and recommended reading

Principles of econometrics, 5th edition, Hill, Griffiths, and Lim, Wiley.

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

 

Recommended reading:

List of papers to available upon start of the course.


Practical information

The city of Bodø

Bodø is home to around 50,000 people and is one of the fastest growing cities in the country, with a lively urban scene.

 

Photo: David Grandorge

Getting to Bodø


  • Bodø is the hub of Nordland and can be reached by plane, train and boat. 
  • Bodø's airport is located in the city itself, making it quick and easy to fly in and out. Oslo Gardemoen is a 90 minute flight away.

Photo: Ernst Furuhatt / www.nordnorge.com

Transport in Bodø

  • The main campus is located at Mørkved, about 9 kilometers from the centre of Bodø.
  • It is easy to take the bus from the airport or city center to campus.

Accomodation in Bodø

  • At campus there is a student hotel “Nordavind” which offers short-time rent. For more information. 
  • You may also stay at a hotel in the centre of Bodø.
  • We advise you to book accommodation as early as possible as hotels in Bodø at times are fully booked