Financial Econometrics

Name im Diploma SupplementFinancial Econometrics
Anbieter Lehrstuhl für Finanzmarktökonometrie (
LehrpersonProf. Dr. Yannick Hoga
Turnusunregelmäßigmaximale Hörerschaftunbeschränkt

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.


Teaching current financial econometric methods for cross-sectional and time series data.


  • Stochastic discount factor
  • Nonlinear generalized method of moments (GMM)
  • Factor pricing models
  • Equity premium puzzle
  • Predictability of returns
  • Multivariate volatility modeling


  • 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.


  • BWL-EaF-Ma-2015 > Wahlpflichtbereich > (1.-3. Fachsemester, Wahlpflicht) Modul "Financial Econometrics "
  • ECMX-Ma-2019 > Wahlpflichtbereich > ME7 Econometric Methods > (1.-3. Fachsemester, Wahlpflicht) Modul "Financial Econometrics "
  • MuU-Ma-2013 > Wahlpflichtbereich I > Wahlpflichtbereich I A.: Methodologie und allgemeine Theorien zur Untersuchung von Märkten und Unternehmen > (1.-3. Fachsemester, Wahlpflicht) Modul "Financial Econometrics "
  • VWL-Ma-2009-V2013 > Wahlpflichtbereich I > (1.-3. Fachsemester, Wahlpflicht) Modul "Financial Econometrics "
  • WiMathe-Ma-2013 > VWL-M II > (1.-4. Fachsemester, Wahlpflicht) Modul "Financial Econometrics "
  • WiMathe-Ma-2013 > VWL-M I > (1.-4. Fachsemester, Wahlpflicht) Modul "Financial Econometrics "
WIWI‑C1254 - Vorlesung: Financial Econometrics