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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
  • BWL EaFWahlpflichtbereich1.-3. FS, Wahlpflicht
  • ECMXWahlpflichtbereichME7 Econometric Methods1.-3. FS, Wahlpflicht
  • MuUWahlpflichtbereich IWahlpflichtbereich I A.: Methodologie und allgemeine Theorien zur Untersuchung von Märkten und Unternehmen1.-3. FS, Wahlpflicht
  • VWLWahlpflichtbereich I1.-3. FS, Wahlpflicht
  • WiMatheVWL-M II1.-4. FS, Wahlpflicht
  • WiMatheVWL-M I 1.-4. FS, Wahlpflicht
Bestandteile
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
Vorlesung: Financial Econometrics (WIWI‑C1254)
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
Übung: Financial Econometrics (WIWI‑C1255)
Modul: Financial Econometrics (WIWI‑M0961)