The objective of the course is to give students a thorough understanding of the most important research methods required for doing empirical analyzes of financial data and for carrying out their bachelor thesis.
The course starts with a brief discussion of the academic writing and the simple estimation methods, such as the OLS, maximum likelihood, which is followed by a description of the time series and time varying volatility of financial data. Thereafter, it gives a presentation of the most important theoretical models in finance, which is accompanied by an explanation of the available methods for testing the theoretical hypotheses.
The course concentrates on the following issues: OLS regression, Maximum Likelihood, Time series (Autoregressive models) and Unit root test, Event Study, and tests for the CAPM model.
ScheduleThe schedule will be available no later than one month before the start of the course. We do not recommend print-outs as changes can occur. At the start of the course, your department will advise where you can find your schedule during the course.
Course literatureNote that the course literature can be changed up to two months before the start of the course.
See reading list in the current syllabus.