Financial Econometrics (Fortgeschrittene Ökonometrie)
Course description
We give an overview of widely used econometric methods for the analysis of financial data. We shall devote attention to both the theoretical underpinnings of the methods and their practical implementation in R. All relevant material and information regarding the course can be accessed through Moodle here.
Lecture (Jun.-Prof. Dr. Robert Czudaj, Vertretungsprofessur)
Digital lecture consisting of recorded lecture videos (approx. 45 min per week) and weekly live Q&A sessions via Zoom:
Tuesday, 4 p.m. - 6 p.m
Live Q&A sessions start on November 3, 2020.
Tutorial (Christoph Berninger)
Live online tutorials via Zoom:
Thursday, 6 p.m. - 8 p.m
Tutorial starts on November 5, 2020.
Lecture and tutorial in English.
Topics:
- Introduction
- Efficient Markets Hypothesis & Predictability of Asset Returns
- Empirical Market Microstructure
- Event Study Analysis
- The Capital Asset Pricing Model
- Multifactor Pricing Model
- Present Value Relations
- Volatility Measurement and Modeling
Target Audience: Master and doctoral students in economics, business, statistics, mathematics and computer science.
Exam: It is intended to offer a regular exam, which will include theoretical as well as practical content. If this is not possible, the exam will take place online. In this case it is intended that you will receive an individual data set and a few questions. Based on this, a small term paper should be completed within agiven time (presumably 8 hours). Furhter information will follow during the semester.
Date: 12.02.2020
Time: tba
Room: tba
Prerequisites: A solid background in econometric theory roughly at the level of a tpical Master course is assumed. More specifically:
- Introduction to Econometrics: OLS,...
- Statistics: (Conditional) Expectations, (co-)variances, correlation
- Econometric/Statistical Software: R
- Asymptotics: What do LLN, CLT,...say?
- Matheamtics: Matrix algebra, determinants
- Difference Equations
- Hypothesis Testing: Null, Alternative, t-test,...
Literature
- Linton O, 2019, Financial Econometrics: Models and Methods, Cambridge University Press
- Campbell JY, Lo AW, MacKinlay AC, 1997, The Econometrics of Financial Markets, Princteon University Press
- and some journal articles