On Campus
Econometrics for Finance
Provided by: HSG
(EQF level: 8)
Prerequisites
The course assumes prior knowledge of econometrics and finance at the Masterʹs level.
Students from Engage.EU universities should register by sending an email to the instructor.
Learning objectives
The aim is to prepare the students for PhD courses in finance. This involves understanding both econometric theory ("why does that econometric approach not fit this financial problem?") as well as being able to implement the methods ("now, run this panel regression and interpret the results").
Content
1. Statistics and basic OLS (testing)
2. OLS II (error structures, asymptotics and simulations)
3. Factor models and portfolio sorts
4. Panel data I (basic models, clustering)
5. Panel data II (diff-in-diff, regression discontinuity)
6. Instrumental variables and GMM
General information
Please see this website for information on how to participate in the course. Please write to [email protected] by September 7, 2025 and request the form that is needed to register for an individual course participation at the doctoral level.
The course assumes prior knowledge of econometrics and finance at the Masterʹs level.
Students from Engage.EU universities should register by sending an email to the instructor.
Learning objectives
The aim is to prepare the students for PhD courses in finance. This involves understanding both econometric theory ("why does that econometric approach not fit this financial problem?") as well as being able to implement the methods ("now, run this panel regression and interpret the results").
Content
1. Statistics and basic OLS (testing)
2. OLS II (error structures, asymptotics and simulations)
3. Factor models and portfolio sorts
4. Panel data I (basic models, clustering)
5. Panel data II (diff-in-diff, regression discontinuity)
6. Instrumental variables and GMM
General information
Please see this website for information on how to participate in the course. Please write to [email protected] by September 7, 2025 and request the form that is needed to register for an individual course participation at the doctoral level.
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Fall term 2025/26
Course start date 2025-09-29Course end date 2025-10-21Language EnglishCredits 4 (ECTS)Grading scheme: 6,0: Excellent 5,5: Very Good 5,0: Good 4,5: Satisfactory 4,0: Marginal 3,5: Unsatisfactory 3,0: Poor 2,5: Poor to very poor 2,0: Very poor 1,5: Very poor to useless 1,0: Useless