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Empirical Finance- Period 2
Computer Science Program
Amsterdam, Netherlands
Dates: 8/20/22 - 12/24/22
Empirical Finance- Period 2
OVERVIEW
CEA CAPA Partner Institution: Vrije Universiteit Amsterdam
Location: Amsterdam, Netherlands
Primary Subject Area: Finance
Instruction in: English
Course Code: E_EOR3_EFIN
Transcript Source: Partner Institution
Course Details: Level 300
Recommended Semester Credits: 3
Contact Hours: 84
Prerequisites: At the beginning of the course a short introduction to Matlab is given, but students need to be aware that an active constant work effort is needed during the course to successfully master the programming part in the exam. Programming pre-knowledge is helpful but by no means a guarantee to be able to solve the programming problems sufficiently.
The course focusses on making the connection between econometric methods and applications in finance using real empirical data. Since we cover a wide variety of finance topics and there is no time to introduce finance theory a prerequisite of the course is finance knowledge on the level of at least a bachelor 101 finance course. Concepts e.g. such as interest rate compounding, different forms of return calculation, basic
understanding of measuring risk in finance, different asset classes etc. need to be known already. If that is not the case students are expected to prepare themselves for the course and classes by catching up on their
finance 1
DESCRIPTION
The course applies econometric methods to a broad range of finance topics. Topics covered are among others, factor models, event study methodology, volatility modelling (e.g. GARCH), historical simulation, model comparison and back-testing, and simulation methods.
Contact hours listed under a course description may vary due to the combination of lecture-based and independent work required for each course therefore, CEA's recommended credits are based on the ECTS credits assigned by VU Amsterdam. 1 ECTS equals 28 contact hours assigned by VU Amsterdam.
Contact hours listed under a course description may vary due to the combination of lecture-based and independent work required for each course therefore, CEA's recommended credits are based on the ECTS credits assigned by VU Amsterdam. 1 ECTS equals 28 contact hours assigned by VU Amsterdam.