- Financial time series and data sources
- Classical linear regression analysis
- Descriptive statistics of financial and real estate time-series
- Econometric analysis of univariate time-series
- Econometric analysis of multivariate time-series
- Time-varying parameters, volatility and correlations
AI1177 Financial Econometrics 7.5 credits
About course offering
For course offering
Spring 2025 Start 17 Mar 2025 programme students
Target group
No information insertedPart of programme
Bachelor's Programme in Real Estate and Finance, åk 2, Mandatory
Periods
P4 (7.5 hp)Duration
Pace of study
50%
Form of study
Normal Daytime
Language of instruction
Swedish
Course location
KTH Campus
Number of places
Places are not limited
Planned modular schedule
Course memo
Course memo is not publishedSchedule
Schedule is not publishedApplication
For course offering
Spring 2025 Start 17 Mar 2025 programme students
Application code
60499
Contact
For course offering
Spring 2025 Start 17 Mar 2025 programme students
Contact
Bertram Steininger (bertram.steininger@abe.kth.se)
Examiner
No information insertedCourse coordinator
No information insertedTeachers
No information insertedContent and learning outcomes
Course contents
Intended learning outcomes
After a passed course, the student should be able to:
- Analyse the prices and returns of key economic time series with a focus on real estate and financial markets
- Estimate linear univariate and multivariate econometric models for economic time series with statistical software
- Perform predictions and hypothesis tests with statistical software
- Interpret and analyse results that are based on econometric methods for time-series data
Literature and preparations
Specific prerequisites
Completed course: AI1178 Applied mathematics and statistics for economists.
Recommended prerequisites
Equipment
Literature
Jeffrey M. Perloff: Microeconomics: Theory and Applications with Calculus (latest edition recommended). Changes will be announced at least one month before the course starts.
Additional material distributed by the lecturer.
Examination and completion
If the course is discontinued, students may request to be examined during the following two academic years.
Grading scale
Examination
- INL1 - Assignment, 3.5 credits, grading scale: P, F
- TEN1 - Written Exam, 4.0 credits, grading scale: A, B, C, D, E, FX, F
Based on recommendation from KTH’s coordinator for disabilities, the examiner will decide how to adapt an examination for students with documented disability.
The examiner may apply another examination format when re-examining individual students.
Re-examination for a higher grade: There is no possibility to retake already passed (A-E) exams.
Opportunity to complete the requirements via supplementary examination
Opportunity to raise an approved grade via renewed examination
Examiner
Ethical approach
- All members of a group are responsible for the group's work.
- In any assessment, every student shall honestly disclose any help received and sources used.
- In an oral assessment, every student shall be able to present and answer questions about the entire assignment and solution.