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Financial Econometrics- Period 5 Social Sciences & Humanities Program Spring 2025 Semester - Amsterdam

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Financial Econometrics- Period 5

Financial Econometrics- Period 5 Course Overview


CEA CAPA Partner Institution: Vrije Universiteit Amsterdam
Location: Amsterdam, Netherlands
Primary Subject Area: Finance
Instruction in: English
Course Code: E_EOR3_FTR
Transcript Source: Partner Institution
Course Details: Level 300
Recommended Semester Credits: 3
Contact Hours: 84
Prerequisites: This course builds on introductory time-series concepts. Attending courses such as "Introduction to Time-Series" in the minor of Applied Econometrics, or the third-year Bachelor course "Econometrics III", is not required, but certainly provides an adequate background knowledge.


This course covers both theoretical and practical aspects of modern econometric models that are used by financial institutions, investment banks, central banks, governments, think tanks, and other research institutes. The students are introduced to models in Finance that feature nonlinearities, time-varying parameters and latent variables. In particular, the students learn how to design, implement, estimate and analyze both observation-driven and parameter-driven models. Finally, from a practical perspective, the students also learn how to use these models in Finance to calculate important risk measures and design optimal portfolios.

Contact hours listed under a course description may vary due to the combination of lecture-based and independent work required for each course therefore, CEA's recommended credits are based on the ECTS credits assigned by VU Amsterdam. 1 ECTS equals 28 contact hours assigned by VU Amsterdam.

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