Financial Econometrics

English
FIN 3618
7.5 Credits

Introduction

Financial Econometrics is designed to help students understand and apply statistical techniques to financial data. Students will gain valuable analytical and programming skills that will enhance their ability to conduct research and perform financial analysis in industry settings. The course will center on linear regression, which is the most commonly used statistical technique in finance. It will provide a strong foundation for anyone interested in pursuing a quantitative role in the financial sector.

Course content

1. Review of the mathematical and statistical foundations of financial econometrics.

2. Overview of the collection, transformation, and interpretation of financial data.

3. The capital asset pricing model (CAPM), which will be used in econometric exercises throughout the course.

4. Linear regression and its extensions, which form the foundation of financial econometrics.

5. Diagnostic tests for problems in linear regression.

Disclaimer

This is an excerpt from the complete course description for the course. If you are an active student at BI, you can find the complete course descriptions with information on eg. learning goals, learning process, curriculum and exam at portal.bi.no. We reserve the right to make changes to this description.