Evaluation 0 5 Registration for Courses Course and exam registration via

Evaluation 0 5 registration for courses course and

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Evaluation: 0-5 Registration for Courses: Course and exam registration via WebOodi. See the registration time in WebOodi. For any registration related matter, please contact the department study coordinator. Language of Instruction: English Further Information: A maximum of 60 students can be accepted to the course. - Students at Aalto Finance M.Sc. programme (i.e. who have graduated as B.Sc.) will be guaranteed a seat on Finance M.Sc. courses. Finance M.Sc. students re-taking the course (grade already registered in WebOodi) will not be prioritized and can participate only if there are places remaining. - CEMS students are similarly guaranteed a seat for Finance M.Sc. courses, which have been designated as CEMS courses. Remaining seats are prioritized as follows, in the order of registration in WebOodi within one category: 1. Finance M.Sc. exchange students from other universities 2. Aalto Finance B.Sc. students with a finished B.Sc. thesis (registered in transcript of records) 3. All other M.Sc. students Please follow carefully the registration deadlines of the courses and exams! Missing registration deadline automatically foregoes a guaranteed seat for Finance M.Sc. courses and puts prospective student at the bottom of the prioritization list. Students may be required to confirm their registration by signing the participation list circulated during the first lecture. 28E34700 Advanced Econometrics for Finance (6 cr) Responsible teacher: Matthijs Lof Status of the Course: M.Sc., Master’s Programme in Finance, elective Level of the Course: Advanced studies Teaching period: III (spring 2016) Workload: Classroom hours, 24 h Class preparation, 48 h Preparing exercise sets, 50 h Exam preparation, 37 h Exam, 3 h Learning Outcomes: By the end of the course, students will be familiar with various econometric methods for analyzing financial data; be able to implement these methods using the R language ( ); know how to interpret statistical results correctly and draw appropriate
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Course Descriptions - Finance conclusions. Content: The course starts with a review of the linear regression model and related concepts, including heteroscedasticity, autocorrelation, endogeneity, and instrumental variables. The remainder of the course will cover concepts for time-series analysis (e.g. ARMA and VAR models, stationarity, cointegration) and tools for modeling market volatility (e.g. ARCH/GARCH, realized volatility). All topics will be illustrated by financial applications, including return predictability, empirical testing of the CAPM and other asset pricing models, and Value-at-Risk. Assessment Methods and Criteria: Exercises (50%) and exam (50%) Study Material: Course material will be provided by the lecturer. Course Homepage: Prerequisites: Econometrics for Finance (28C00200), Econometrics (30C00200), or equivalent Evaluation: 0-5 Registration for Courses: Course and exam registration via WebOodi. See the registration time in WebOodi. For any registration related matter, please contact the department study coordinator.
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