Analyses of Financial Data

Introduction

This course covers important econometric techniques that are used in empirical finance. The main focus will be on time series econometrics as time series is the most frequent data format in finance. The course starts by examining basic regression analysis. Then it continues on to forecasting and the modelling of long-run relationships in finance, before it finally focuses on the modelling of volatility.

Course content

This course introduces students to empirical techniques that are relevant for finance and business and economics in general. More specifically, the outline of the course is as follows:

Foundations for empirical methods in finance.

• What is econometrics?
• Regression analysis with Ordinary Least Squares (OLS)
• Introduction to R
• Regression with Dummy variables
• Univariate time series models and forecasting
• Modelling long-run relationships in finance
• Modelling volatility