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Financial Econometrics

In the Financial Econometrics track, you focus on the econometric techniques that have been developed for the analysis of financial markets. This track is 1 of 4 tracks you can opt for in our Master's in Econometrics.

Help organisations manage risks

Learn how to apply econometric techniques to support portfolio management or for example in the valuation of securities.

Financial econometrics is all about applying statistical methods to financial market data. Areas of study include capital markets, financial institutions, corporate finance and corporate governance. Topics often revolve around asset valuation of individual stocks, bonds, derivatives, currencies and other financial instruments.

  • Familiarise yourself with the application of econometric techniques on financial data.
  • Interpret the results from a financial perspective.
  • Become an expert in the complex mathematics of the financial economy.

Track-specific courses

  • Asset Pricing

    In this course you learn the basic principles of asset pricing and risk mitigation on a market consistent basis. The underlying principle for this course is the notion that the market consistent value of an insurance or pension contract is based on the market value of the best possible replicating portfolio plus a possible add-on for the remaining (unhedgeable) residual risk. Therefore we provide you with an introduction to mathematical techniques which can be used in complete markets, such as those for equity and interest derivatives.

  • Mandatory electives: semester 2

    Choose 1 out of 7 electives:

    • Behavioural Finance    
    • Economic and Financial Network Analysis      
    • Fixed Income Risk Management           
    • Microeconometrics      
    • Real Estate Finance     
    • Real Estate Investments            
    • Behavioural Macro and Finance
  • Stochastic Calculus

    In this course you learn the elements of probability theory, stochastic processes and stochastic calculus relevant in the analysis of financial derivatives. You focus on the mathematical concepts and techniques and to a lesser extent on their application in pricing and hedging derivatives.

  • Financial Econometrics

    In this course you cover: linear time series analysis, volatility models, value at risk, VAR models and co-integration, multivariate volatility and correlation models, high-frequency data and realized variance. You will apply your knowledge to empirical data using Python and R.

Real-life case: the impact of Trump's tweets

Investigate the impact of Trump's tweets on the volatility of the Dow Jones. Execute regressions of the difference in realised volatility on the categories of the tweets of Trump. Calculate the realised variances with minute-date of the Dow Jones index. Which tweets have a rising impact on the volatility?

Up-to-date issues

  • Value at risk
  • Activa pricing
  • High frequency data from stock markets

Financial Econometrics and 3 other tracks

Financial Econometrics is one of 4 tracks you can opt for in our MSc Econometrics. If you are more interested in another field of econometrics, read the info on one or more of the other tracks.