Explanation for irregular cycle The courses in this module take place irregularly and (usually) in summer semesters. Information on whether the course is offered can be obtained from the chair homepage or the LSF. Preliminary knowledgeKnowledge of basic econometric and statistical methods as well as knowledge of univariate time series analysis. Knowledge of a statistical programming language such as R is also helpful. AbstractTeaching current financial econometric methods for cross-sectional and time series data. Contents- Stochastic discount factor
- Nonlinear generalized method of moments (GMM)
- Factor pricing models
- Equity premium puzzle
- Predictability of returns
- Multivariate volatility modeling
Literature- Cochrane, J.H. (2005). Asset Pricing. Princeton University Press.
- Linton, L. (2019). Financial Econometrics: Models and Methods. Cambridge University Press.
- Newey, W. K. and McFadden, D. (1994). Large sample estimation and hypothesis testing. In Engle, R. F. and McFadden, D., editors, Handbook of Econometrics, volume 4, chapter 36, pages 2111–2245. Elsevier.
- Francq, C. and Zakoian, J.-M. (2019). GARCH Models: Structure, Statistical Inference and Financial Applications. Wiley.
Teaching conceptPresentation of the material in theory and practice, the latter in R. Participants- BWL-EaF-Ma-2015 > Wahlpflichtbereich > (1st-3rd Semester, Elective) Modul "Financial Econometrics "
- ECMX-Ma-2019 > Wahlpflichtbereich > ME7 Econometric Methods > (1st-3rd Semester, Elective) Modul "Financial Econometrics "
- MuU-Ma-2013 > Wahlpflichtbereich I > Wahlpflichtbereich I A.: Methodologie und allgemeine Theorien zur Untersuchung von Märkten und Unternehmen > (1st-3rd Semester, Elective) Modul "Financial Econometrics "
- VWL-Ma-2009-V2013 > Wahlpflichtbereich I > (1st-3rd Semester, Elective) Modul "Financial Econometrics "
- WiMathe-Ma-2013 > VWL-M II > (1st-4th Semester, Elective) Modul "Financial Econometrics "
- WiMathe-Ma-2013 > VWL-M I > (1st-4th Semester, Elective) Modul "Financial Econometrics "
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