Introduction to Financial Econometrics
The course provides an introduction to fundamental econometric methods with applications in finance, as well as the skills needed to apply them. It also prepares students for writing a bachelor’s thesis in finance.
Key components include Ordinary Least Squares (OLS) and Maximum Likelihood (ML) estimation, hypothesis testing, time‑series analysis, tests for stationarity in financial data, evaluation of the CAPM model, and event‑study analysis.
Teaching Format
The teaching consists of lectures, computer‑based exercises, and Q&A sessions.
The language of instruction is English.
The 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.
Note that the course literature can be changed up to two months before the start of the course.
Course reports are displayed for the three most recent course instances.
Head of Course: Caihong Xu
Course Coordinator: coursecoordinator.sbs
