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Umeå University
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Syllabus:

Financial Economics II D21, 7.5 Credits

Swedish name: Finansiell ekonomi II D21

This syllabus is valid: 2011-10-17 valid to 2014-07-20 (newer version of the syllabus exists)

Course code: 2NE056

Credit points: 7.5

Education level: Second cycle

Main Field of Study and progress level: Economics: Second cycle, in-depth level of the course cannot be classified

Grading scale: Three-grade scale

Responsible department: Department of Economics

Contents

The course begins by covering some portfolio theory and then continues with time series analysis. The time series part of the course covers AR, MA and ARMA modeling. After that the ARCH, GARCH and CHARMA models are presented. Multivariate volatility models are also treated. Value at risk, risk metrics and quantile estimation is covered. After that multivariate time series analysis and its applications is treated. Here concepts like weak stationarity, cross-correlation matrices, vector autoregressive models and cointegrated VAR models are covered.

Expected learning outcomes

Having completed this course, the student is supposed to - Have a good knowledge of financial time series and their characteristics. - Have a good knowledge of time series analysis and its applications. - Have a good knowledge in using conditional heteroscedastic models (GARCH). - Have a good knowledge of multivariate models and their applications. - Have a good knowledge of using Value at Risk (VAR) models. - Have a deepened knowledge of portfolio theory and its applications.

Required Knowledge

University: Courses in Economics at undergraduate level equal to 90ECTS (whereof 30ECTS C-level courses) including a Bachelor thesis of 15ECTS or the equal writing experience. In addition Mathematical Economics I D7 and Financial Economics D2 or the equivalents are required. Students are also required to have English A from Swedish gymnasium or the equivalent.

Form of instruction

The teaching will be made up of lectures, supervised computer exercises and seminars.

Examination modes

The examination consists of a written exam at the end of the course. Students that not recieves the grade Pass or Pass with Distinction on the first exam have the possibility to write a second exam within a close time. Subsequently exam opportunities are given the next time the course is offered. In addition to these opportunities are all exams offered in August each year. Contact the study advisor for more information Students with the grade Pass or Passed with Distinction are not eligible to write a new exam in order to raise the grade. A student that has failed on two exams on the same module has the right to apply for a new lecturer correcting the exam. The application has to be sent to the Board for the Faculty of Social Science. A student accepted to the course has the right to take an exam on the course and all its modules up until two years after the syllabus has changed or the course has been closed. CREDIT TRANSFER Director of Studies at the Department of Economics has the right to decide if a student’s previous studies at another university can be transferred to Umeå University. A student applying for a credit transfer shall include verified copies of course certificate or the corresponding documents, where the university (or collage), subject, grading date, level, number of credits and grade are included. The syllabus and the literature list have to be attached to the application. For further information contact the study advisor.

Literature

Valid from: 2011 week 42

Tsay Ruey S.
Analysis of financial time series
3rd ed. : Hoboken, N.J. : Wiley : c2010. : xxiii, 677 p. :
ISBN: 978-0-470-41435-4 (cloth)
Mandatory
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