Course 2022-2023

Empirical Finance [ECONM833]

  • 5 credits
  • 30h
  • 1st quarter
Language of instruction: English

Learning outcomes

With this course, students will have a thorough knowledge of the charactericts of financial markets. At the same time, they'll obtain the tools to understand and perform empirical reasearch in Finance.

 

Objectives

Main objectives of the course:

  • Understand the process of price formation in financial markets

  • Empirical modelling of financial data

  • Financial econometrics

  • Applying methods of asset management

 

Content

  1. Introduction to financial data

  2. Efficient market hypothesis, Stylized facts & Factor Models

  3. Random Walk Hypothesis

  4. Volatility modelling: GARCH models

  5. Modelling long-run relationships in Finance

  6. Efficient market hypothesis and behavioral finance

  7. Introduction to Agent-based modeling in Finance

  8. Reading and conducting empirical research in Finance 

 


Teaching methods

 

Lectures (PowerPoint slides) and exercices on R presented during the course. 

 

Evaluations

  • Written exam (60 %)

    • Closed-book, 2 hours

    • Theoretical concepts + interpretation of real life data/problems

  • Group assignment (40 %)

    • Case study on empirical aspects presented in the course

    • Performing empirical analyses on R

    • Critically analyse results

    • Written report

Recommended readings

Brooks, C. (2019). Introductory Econometrics for Finance. Fourth Edition. Cambridge University Press

Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (1997). The Econometrics of Financial markets. Princeton University Press.

Mishkin, F. S. & Serletis, A. (2011). The Economics of Money, Banking, and Financial Markets. Fourth Canadian Edition. Pearson Canada Education.

Taylor, S. (2005). Asset Price dynamics, Volatility and Prediction. Princeton: Princeton University Press

 

Language of instruction

English

Location for course

NAMUR

Organizer

Faculté des sciences économiques, sociales et de gestion
Rue de Bruxelles, 61
5000 NAMUR

Degree of Reference

Master's Degree