Universität Wien

040045 KU Econometrics in Finance (MA) (2021W)

8.00 ECTS (4.00 SWS), SPL 4 - Wirtschaftswissenschaften
Prüfungsimmanente Lehrveranstaltung
VOR-ORT
Moodle

An/Abmeldung

Hinweis: Ihr Anmeldezeitpunkt innerhalb der Frist hat keine Auswirkungen auf die Platzvergabe (kein "first come, first served").

Details

max. 50 Teilnehmer*innen
Sprache: Englisch

Lehrende

Termine (iCal) - nächster Termin ist mit N markiert

  • Dienstag 05.10. 09:45 - 11:15 Seminarraum 7, Kolingasse 14-16, OG01
  • Dienstag 05.10. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Donnerstag 07.10. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Dienstag 12.10. 09:45 - 11:15 Seminarraum 7, Kolingasse 14-16, OG01
  • Dienstag 12.10. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Donnerstag 14.10. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Dienstag 19.10. 09:45 - 11:15 Seminarraum 7, Kolingasse 14-16, OG01
  • Dienstag 19.10. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Donnerstag 21.10. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Donnerstag 28.10. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Donnerstag 04.11. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Dienstag 09.11. 09:45 - 11:15 Seminarraum 7, Kolingasse 14-16, OG01
  • Dienstag 09.11. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Donnerstag 11.11. 12:30 - 14:00 Seminarraum 17, Kolingasse 14-16, OG02
  • Dienstag 16.11. 09:45 - 11:15 Seminarraum 7, Kolingasse 14-16, OG01
  • Dienstag 16.11. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Donnerstag 18.11. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Dienstag 23.11. 09:45 - 11:15 Seminarraum 7, Kolingasse 14-16, OG01
  • Dienstag 23.11. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Donnerstag 25.11. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Dienstag 30.11. 09:45 - 11:15 Seminarraum 7, Kolingasse 14-16, OG01
  • Dienstag 30.11. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Donnerstag 02.12. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Dienstag 07.12. 09:45 - 11:15 Seminarraum 7, Kolingasse 14-16, OG01
  • Dienstag 07.12. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Donnerstag 09.12. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Dienstag 14.12. 09:45 - 11:15 Seminarraum 7, Kolingasse 14-16, OG01
  • Dienstag 14.12. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Donnerstag 16.12. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Dienstag 11.01. 09:45 - 11:15 Seminarraum 7, Kolingasse 14-16, OG01
  • Dienstag 11.01. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Donnerstag 13.01. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Dienstag 18.01. 09:45 - 11:15 Seminarraum 7, Kolingasse 14-16, OG01
  • Dienstag 18.01. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Donnerstag 20.01. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Dienstag 25.01. 09:45 - 11:15 Seminarraum 7, Kolingasse 14-16, OG01
  • Dienstag 25.01. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Donnerstag 27.01. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02

Information

Ziele, Inhalte und Methode der Lehrveranstaltung

Recent years have witnessed a growing need for econometric methods in financial research and practice. As a result, financial econometrics has become one of the most active areas of research in econometrics. This is documented by the award of the Nobel Prize 2003 to Robert F. Engle for his contribution to the modelling of time-varying asset return volatility and the award of the 2013 Nobel Prize to Lars Peter Hansen for his pioneering work on the empirical analysis of asset prices.
This course aims to provide students an introduction into the field and an overview of the most important topics and techniques. Having predominantly an applied focus, it attempts to balance between derivations of basic theoretical relations, fundamental methodology, the analysis of specific financial econometric models, applications thereof as well as the discussion of important empirical findings.
The course deals with the estimation and testing of asset pricing models, univariate and multiple time series techniques to model and to predict financial data as well as the modelling of time-varying volatility and risk. Current topics in modern financial econometric research, such as the modelling of realized volatility as well as the analysis of financial high-frequency data, among others, is covered as well.
Moreover, an important objective is to provide a comprehensive knowledge to do empirical work in financial research and practice. Therefore, a part of the course consists of practical exercises where students are instructed to apply econometric concepts to real financial data. In this context, students will be introduced to basic programming and application steps using the statistical software package R.

Art der Leistungskontrolle und erlaubte Hilfsmittel

The assessment consists of the following parts:

i) Homework assignments. Students will receive several homework assignments during the semester, which have to be solved within a week, have to be uploaded via Moodle and have to be presented in the tutorials. The assignments can consist of small questions, analytical derivations and/or small data work in R.

ii) Empirical projects. After each major section or chapter in class, one or several topics for an empirical project based on material covered in the course will be announced. Students can choose a topic on a first-come-first-served basis and have to work on it in a take-home project. In these projects, students will receive datasets (or have to find datasets) and have to perform econometric analyses in R in order to address certain economic questions. The analysis and results have to be documented in a slide presentation. The presentation (ca. 30 min.) has to be given approximately two weeks after the topic has been chosen either in class or in the tutorial. All underlying material (i.e., slides and all R codes used) have to be uploaded via Moodle prior to the presentation. Each student has to give one presentation per semester. Depending on the number of students in class, group work might be allowed (will be announced in due time).

(iii) Oral exam on all material covered in the course. Depending on the number of students it will take place individually or in groups (will be announced in due time). The oral exams will take place during February 2022 and will be announced in due time.

Permitted material: For assignments (i) and (ii), any material can be used. In the oral exam, no material is permitted.

Mindestanforderungen und Beurteilungsmaßstab

Grading:
For the final grade, (i) counts 35%, (ii) counts 30%, and (iii) counts 35%.

To pass the course, a minimum level of 45% has to be reached.

Rating:
[85%; 100%]: 1.0
[70%; 85%): 2.0
[55%; 70%): 3.0
[45%; 55%): 4.0
[0; 45%): 5.0

Prüfungsstoff

All material covered in class and in the tutorials.

Literatur

Brooks, C. (2008): “Introductory Econometrics of Finance”, 2nd ed., Cambridge University Press
Campbell, J. Y., A. W. Lo, and A. C. MacKinlay (1997): ''The Econometrics of Financial Markets'', Princeton University Press
Hamilton, J. D. (1994): ''Time Series Analysis'', Princeton University Press
Hautsch, N. (2012): “Econometrics of Financial High-Frequency Data”, Springer.
Taylor, S. J. (2005): ''Asset Price Dynamics, Volatility, and Prediction'', Princeton University Press
Tsay, R. S. (2010): ''Analysis of Financial Time Series: Financial Econometrics'', Wiley, 3rd edition

Zuordnung im Vorlesungsverzeichnis

Letzte Änderung: Mo 08.11.2021 09:48