040514 VK KFK CF/FI/FM/: Empirical Finance (2016W)
Prüfungsimmanente Lehrveranstaltung
Labels
An/Abmeldung
Hinweis: Ihr Anmeldezeitpunkt innerhalb der Frist hat keine Auswirkungen auf die Platzvergabe (kein "first come, first served").
- Anmeldung von Mo 12.09.2016 09:00 bis Do 22.09.2016 14:00
- Abmeldung bis Fr 14.10.2016 14:00
Details
max. 50 Teilnehmer*innen
Sprache: Englisch
Lehrende
Termine (iCal) - nächster Termin ist mit N markiert
Endklausur: Dienstag, 31.01.2017, 15.00-16.30, PC-Seminarraum 5, OMP1, 1. UG
Dienstag
04.10.
09:45 - 11:15
Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Mittwoch
05.10.
15:00 - 16:35
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Dienstag
11.10.
09:45 - 11:15
Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Mittwoch
12.10.
15:00 - 16:35
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Dienstag
18.10.
09:45 - 11:15
Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Mittwoch
19.10.
15:00 - 16:35
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Dienstag
25.10.
09:45 - 11:15
Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Dienstag
08.11.
09:45 - 11:15
Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Mittwoch
09.11.
15:00 - 16:35
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Dienstag
15.11.
09:45 - 11:15
Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Mittwoch
16.11.
15:00 - 16:35
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Dienstag
22.11.
09:45 - 11:15
Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Mittwoch
23.11.
15:00 - 16:35
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Dienstag
29.11.
09:45 - 11:15
Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Mittwoch
30.11.
15:00 - 16:35
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Dienstag
13.12.
09:45 - 11:15
Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Dienstag
13.12.
11:30 - 13:00
Seminarraum 1 Oskar-Morgenstern-Platz 1 Erdgeschoß
Dienstag
13.12.
15:00 - 16:30
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Mittwoch
14.12.
15:00 - 16:35
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Dienstag
10.01.
09:45 - 11:15
Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Mittwoch
11.01.
13:15 - 14:45
Seminarraum 1 Oskar-Morgenstern-Platz 1 Erdgeschoß
Mittwoch
11.01.
15:00 - 16:35
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Mittwoch
18.01.
15:00 - 16:35
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Dienstag
24.01.
09:45 - 11:15
Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Mittwoch
25.01.
15:00 - 16:35
PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Information
Ziele, Inhalte und Methode der Lehrveranstaltung
Art der Leistungskontrolle und erlaubte Hilfsmittel
The course has continuous assessment.
- 50% of the final mark comes from a written examination at the end of the course, composed of an applied part and a theoretical part.
- 25% comes from a lab-test after the first part of the course
- 20% comes from an empirical group project (due to 31st January).
- 5% comes from active participation in lectures and labs.
- 50% of the final mark comes from a written examination at the end of the course, composed of an applied part and a theoretical part.
- 25% comes from a lab-test after the first part of the course
- 20% comes from an empirical group project (due to 31st January).
- 5% comes from active participation in lectures and labs.
Mindestanforderungen und Beurteilungsmaßstab
This course aims to introduce financial econometrics with particular emphasis on its empirical applications. It provides students with the concepts of the econometric techniques widely applied in finance, and their hand-on applications and interpretations. It aims to develop computer skills in financial analysis, using the statistical packages EViews and STATA.
Prüfungsstoff
2-hour lectures aim to provide the students with the theoretical and intuitive understanding of the econometric techniques of interests. Then, 2-hour labs are dedicated to hands-on computer work using the software Eviews, with emphasis on the interpretation of the results.
Literatur
The main textbooks are:
- Chris Brooks, (2008), Introductory Econometrics for Finance, Cambridge University Press, (chap. 1, 2, 3, 4, 5, 8, 13)
- John Y. Campbell, Andrew W. Lo, and A. Craig MacKinlay (1997), The Econometrics of Financial Markets, Princeton University Press (chap. Introduction.4, 1, 2, 3, 4, 5, (6), 7, 10)
- Lee C Adkins, R. Carter Hill (2011), Using STATA for "Principles of econometrics, 4th edition", Wiley, 2011
- Lecture notes and papers suggested during the course.
- Chris Brooks, (2008), Introductory Econometrics for Finance, Cambridge University Press, (chap. 1, 2, 3, 4, 5, 8, 13)
- John Y. Campbell, Andrew W. Lo, and A. Craig MacKinlay (1997), The Econometrics of Financial Markets, Princeton University Press (chap. Introduction.4, 1, 2, 3, 4, 5, (6), 7, 10)
- Lee C Adkins, R. Carter Hill (2011), Using STATA for "Principles of econometrics, 4th edition", Wiley, 2011
- Lecture notes and papers suggested during the course.
Zuordnung im Vorlesungsverzeichnis
Letzte Änderung: Mo 07.09.2020 15:29
1. Introduction of returns and basic data handling with Eviews
2. Classical linear regression model
3. Assumptions of the classical linear regression model
4. Introduction of time series of financial data
5. Introduction of panel data in financial data
6. Market efficiency and predictability
7. Stock market anomalies
8. Event studies
9. CAPM, APT and multifactor models
10. Fund performance
11. Volatility models
12. Empirical market microstructure