Universität Wien FIND

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040014 KU Econometrics in Finance (MA) (2019S)

8.00 ECTS (4.00 SWS), SPL 4 - Wirtschaftswissenschaften
Continuous assessment of course work

Registration/Deregistration

Details

max. 40 participants
Language: German

Lecturers

Classes (iCal) - next class is marked with N

Mi, 19.6., 14 - 16:30 Uhr, ISOR-Besprechungsraum, 06.511

Wednesday 06.03. 15:00 - 16:30 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 07.03. 15:00 - 16:30 Hörsaal 10 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 13.03. 15:00 - 16:30 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 14.03. 15:00 - 16:30 Hörsaal 10 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 20.03. 15:00 - 16:30 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 21.03. 15:00 - 16:30 Hörsaal 10 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 27.03. 15:00 - 16:30 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 28.03. 15:00 - 16:30 Hörsaal 10 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 03.04. 15:00 - 16:30 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 04.04. 15:00 - 16:30 Hörsaal 10 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 10.04. 15:00 - 16:30 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 11.04. 15:00 - 16:30 Hörsaal 10 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 02.05. 15:00 - 16:30 Hörsaal 10 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 08.05. 15:00 - 16:30 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 09.05. 15:00 - 16:30 Hörsaal 10 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 15.05. 15:00 - 16:30 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 16.05. 15:00 - 16:30 Hörsaal 10 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 22.05. 15:00 - 16:30 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
Thursday 23.05. 15:00 - 16:30 Hörsaal 10 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 29.05. 15:00 - 16:30 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
Wednesday 26.06. 14:00 - 16:30 Seminarraum 3 Oskar-Morgenstern-Platz 1 1.Stock
Thursday 27.06. 14:00 - 16:30 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock

Information

Aims, contents and method of the course

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 fundamental time series techniques to model and to predict financial data and with the modeling of time-varying volatility. In this context, the concept of realized volatility as well as the analysis of financial high-frequency data is covered.
More advanced topics include the analysis of panel data and the difference in differences estimation.

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.

Assessment and permitted materials

The assessment is made up of three part.

The first part consists of weekly exercises which are either of theoretical nature or require programming in R. The solutions of these exercises are presented by students in the first half of the Wednesday class.

The second part is an empirical project. Whether this project needs to be presented in class or in written form will be discussed in the first lecture.

The third part is an oral exam at the end of the term.

Minimum requirements and assessment criteria

Admitted students have to attend the first lecture on Wednesday 6th of March to confirm their participation!

The students can earn up to 40, 30 and 30 in the three parts described above. A total of 50 points is minimally required to pass the course. More than 63, 75 resp. 87 points yield the grades 3, 2 resp 1.

Examination topics

1) Financial Data: Basic Concepts and Properties
2) Univariate Time Series Analysis
3) Multivariate Time Series Analysis
4) Volatility Concepts
5) Panel Data
6) Difference in differences
7) Bonus: Machine Learning in Finance

Reading list

"Introductory econometrics for finance" by C Brooks
"Analysis of Financial Time Series: Financial Econometrics" by RS Tsay
"Panel data econometric" by M Arellano

Association in the course directory

Last modified: Mo 07.09.2020 15:28