Syllabus academic year 2009/2010
(Created 2009-08-11.)

Higher education credits: 7,5. Grading scale: TH. Level: A (Second level). Language of instruction: The course will be given in English. TEK110 overlap following cours/es: NEK722, NEK722, NEK722 och NEK722. Optional for: I4fi, Pi4. Course coordinator: Univ. lektor Hossein Asgharian,, Nationalekonomiska inst. Prerequisites: Basic financial economics and statistics. Assessment: Examination consists of a number of compulsory computer exercises, a home exam in the form of a short essay and a written exam that takes place at the end of the course. The final grade will be based on the written exam and the home exam. Other forms of examination may be used to a limited extent. Further information: Corresponds to NEKM26. Home page:

The goal of the course is to develop the students’ understanding of empirical models in finance and their ability to apply the econometrical methods to test the models.

Knowledge and understanding
For a passing grade the student must

Skills and abilities
For a passing grade the student must

Judgement and approach
For a passing grade the student must

have an ability to identify the interesting finance-related problems in the real-world and to incorporate adequate methods and theories to analyse these problems

The course begins with a brief discussion of the estimation methods, such as Least Square (LS), Maximum Likelihood (ML) and Generalised Method of Moment (GMM), which is followed by a description of the time-series properties of various financial data. Thereafter, it gives a presentation of the most important theoretical models in finance that is accompanied by an explanation of the available methods for testing the theoretical hypotheses. The course concentrates on the following issues: tests for information efficiency, market microstructure, event study, portfolio valuation, tests for the asset pricing models and fixed incomes. There is a number of computer exercises which are supposed to give the students practical skills for solving econometric problems.

Campbell, J.Y., Lo, A.W. & Macinlay, A.C.: The Econometrics of Financial Markets. Princeton University Press 1998.
Brooks, C.: Introductory Econometrics for Finance. Cambridge Unversity Press 2002
Supplementary material