Informationen zu den Modulen
Modul (6 Credits)
Financial Econometrics
- Name im Diploma Supplement
- Financial Econometrics
- Verantwortlich
- Voraussetzungen
- Siehe Prüfungsordnung.
- Workload
- 180 Stunden studentischer Workload gesamt, davon:
- Präsenzzeit: 60 Stunden
- Vorbereitung, Nachbereitung: 60 Stunden
- Prüfungsvorbereitung: 60 Stunden
- Dauer
- Das Modul erstreckt sich über 1 Semester.
- Qualifikationsziele
Students
- acquire comprehensive knowledge of financial econometric methods for both cross-sectional data as well as time series data and are proficient in their application
- are able to transfer questions concerning financial market data into suitable models, to estimate the models with the help of current methods, to draw valid conclusions from the data and to question the empirical results
- can competently evaluate and critically examine studies in financial econometrics
- are able to solve practical problems independently with the help of statistical software
- Praxisrelevanz
The practical relevance is high due to the combination of theory and empirical work.
- Prüfungsmodalitäten
Written exam (generally 60-90 minutes) or oral exam (generally 20-40 minutes). The chosen examination method (written or oral exam) is defined by the lecturer during the first weeks of the lecture period.
- Verwendung in Studiengängen
- Bestandteile
Vorlesung (3 Credits)
Financial Econometrics
- Name im Diploma Supplement
- Financial Econometrics
- Anbieter
- Lehrperson
- SWS
- 2
- Sprache
- englisch
- Turnus
- unregelmäßig
- maximale Hörerschaft
- unbeschränkt
- Erläuterung zum unregelmäßigen Turnus
- 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.
- empfohlenes Vorwissen
Knowledge 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.
- Abstract
Teaching current financial econometric methods for cross-sectional and time series data.
- Lehrinhalte
- Stochastic discount factor
- Nonlinear generalized method of moments (GMM)
- Factor pricing models
- Equity premium puzzle
- Predictability of returns
- Multivariate volatility modeling
- Literaturangaben
- 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.
- didaktisches Konzept
Presentation of the material in theory and practice, the latter in R.
- Hörerschaft
Übung (3 Credits)
Financial Econometrics
- Name im Diploma Supplement
- Financial Econometrics
- Anbieter
- Lehrperson
- SWS
- 2
- Sprache
- englisch
- Turnus
- unregelmäßig
- maximale Hörerschaft
- unbeschränkt
- empfohlenes Vorwissen
See lecture
- Lehrinhalte
See lecture
- Literaturangaben
See lecture
- didaktisches Konzept
Working on theoretical as well as practical exercises; the latter in R
- Hörerschaft