Universität Wien

040977 SE Seminar in Empirical Finance and Financial Econometrics (2022S)

4.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften
Prüfungsimmanente Lehrveranstaltung
DIGITAL

Achtung: wird anerkannt für Seminar aus Statistik im Magisterstudium für Studierende der Statistik
Seminar: siehe Homepage

Dieser Kurs dient NUR im SS 2022 im Masterstudium Banking und Finance als Ersatz für den Kurs Seminar in Corporate Finance for Business Orientation (B.1.b.ii).

Moodle

An/Abmeldung

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

Details

max. 24 Teilnehmer*innen
Sprache: Englisch

Lehrende

Termine (iCal) - nächster Termin ist mit N markiert

Only in SS 2022 this course can be used as a substitute for course 040259 SE Corporate Finance (MA Banking & Finance, Business Orientation Compulsory ), which will exceptionally not take place in this SS.

  • Freitag 04.03. 09:45 - 11:15 Digital
  • Freitag 18.03. 09:45 - 11:15 Digital
  • Freitag 25.03. 09:45 - 11:15 Digital
  • Freitag 01.04. 09:45 - 11:15 Digital
  • Freitag 08.04. 09:45 - 11:15 Digital
  • Freitag 29.04. 09:45 - 11:15 Digital
  • Freitag 06.05. 09:45 - 11:15 Digital
  • Freitag 13.05. 09:45 - 11:15 Digital
  • Freitag 20.05. 09:45 - 11:15 Digital
  • Freitag 03.06. 09:45 - 11:15 Digital
  • Freitag 10.06. 09:45 - 11:15 Digital
  • Freitag 17.06. 09:45 - 11:15 Digital
  • Freitag 24.06. 09:45 - 11:15 Digital

Information

Ziele, Inhalte und Methode der Lehrveranstaltung

The main objective of the seminar is to give a brief overview of methods in modern financial econometrics and time series modeling, a practical knowledge of performing applied empirical analysis as well as an experience of working with real financial data.
The seminar also aims to provide a ground for students to practice presentation skills and a critical assessment of research papers.

Art der Leistungskontrolle und erlaubte Hilfsmittel

Assessment is mainly based on a term project (possibly, performed in groups) and seminar participation (that might include several different activities).
A project consists of a final paper (to be submitted in August/September) and a presentation of the selected research question and intermediate results during the seminar (in April/June). The research question for a project is supposed to be selected individually and can be based on one of suggested methodological papers.

Mindestanforderungen und Beurteilungsmaßstab

As a prerequisite, it is expected that students have taken core courses in probability and statistics and/or econometrics and are familiar with basic probabilistic and econometric concepts (e.g., LLN, CLT, stationarity, least squares estimator, maximum likelihood principle, etc.).
The grade will be based on the course project (intermediate presentation and final paper) and seminar participation.
Intermediate project presentations will take place in April/June, during seminar meetings. The tentative deadline for the final project paper is September 15.

The final grade is compiled as follows:
1) Project paper - 70%
2) Project presentations - 20%
3) Seminar participation - 10%

Prüfungsstoff

Preliminary list of topics:
1. Financial prices and returns. Stylized empirical facts.
2. Volatility and risk. GARCH models.
3. High frequency (intraday) data. Realized Variance estimator.
4. Dynamic models for Realized Variance. New generation of GARCH models.
5. Time varying parameters. Dynamic Conditional Score models.
6. Methods for model selection.

Literatur

There will be no unique course textbook. Instead, research papers will be recommended as a source of relevant material for the projects.

Some useful textbooks are:

Tsay, RS (2010): Analysis of Financial Time Series: Financial Econometrics, Wiley, 3rd edition.

Hautsch, N. (2012): Econometrics of Financial High-Frequency Data, Springer.

Taylor, SJ (2005): Asset Price Dynamics, Volatility, and Prediction, Princeton University Press.

Zuordnung im Vorlesungsverzeichnis

Letzte Änderung: Do 11.05.2023 11:27