Universität Wien

040045 KU Econometrics in Finance (MA) (2022W)

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

Registration/Deregistration

Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).

Details

max. 50 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

Students have to sign in during the first week of the semester. Signing off is only possible until at latest until October 15, 2022. Students who are still signed in after October 15, 2022 will be graded!

Lecture:
Tuesdays (04.10.22-31.01.23) 13:15-14:45; See course information
Thursdays (06.10.22-26.01.23) 13:15-14:45; See course information

Tutorial:
Wednesdays (05.10.22-25.01.23) 11:30-13:00; See course information

  • Tuesday 04.10. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Wednesday 05.10. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Thursday 06.10. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Tuesday 11.10. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Wednesday 12.10. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Thursday 13.10. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Tuesday 18.10. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Wednesday 19.10. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Thursday 20.10. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Tuesday 25.10. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Thursday 27.10. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Thursday 03.11. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Tuesday 08.11. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Wednesday 09.11. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Thursday 10.11. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Tuesday 15.11. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Wednesday 16.11. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Thursday 17.11. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Tuesday 22.11. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Wednesday 23.11. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Thursday 24.11. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Tuesday 29.11. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Wednesday 30.11. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Thursday 01.12. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Tuesday 06.12. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Wednesday 07.12. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Tuesday 13.12. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Wednesday 14.12. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Thursday 15.12. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Tuesday 10.01. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Wednesday 11.01. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Thursday 12.01. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Tuesday 17.01. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Wednesday 18.01. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Thursday 19.01. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Tuesday 24.01. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Wednesday 25.01. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Thursday 26.01. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Tuesday 31.01. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02

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 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, techniques for factor selection, modelling and predicting time-varying volatility and correlation with high-frequency data, derivative pricing techniques, stochastic volatility models and Bayesian filtering. If time allows application of machine learning techniques for asset pricing and time series models will be considered.
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.

Form of Teaching
If permitted by Covid regulation, the course will be taught in physical presence in class room. Whenever necessary due to Covid restrictions, a hybrid or fully digital format via Zoom will be chosen. Corresponding announcements will be done via Moodle.

Assessment and permitted materials

The assessment consists of the following parts:

i) Homework assignments. Students will receive homework assignment every 2/3 weeks to be solved and presented during the tutorials. The assignments can consist of small questions, analytical derivations and/or small data work in R.

ii) Empirical take-home project, 6.2.-12.2. 2023. Students will receive 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 research report (max. 7 pages), and R codes used in the study have to be uploaded. All results must be easily replicable in R. Depending on the number of students participating in the course, group work may be allowed (will be announced in due). The effective working time corresponds approximately to one working day, but students have one week to perform the analysis. Download of data and instructions as well as upload of reports and R codes are performed through Moodle.
Permitted material: For assignments (i) and (ii), any material can be used. For (iii), no additional material except of a pocket calculator is permitted.

(iii) Final test, 26.1. 2022, on all material covered in the course. The test will take approximately 45-60 minutes, will be carried out in class room or remotely through Moodle. The questions will refer to general material covered in the course, analytical derivations, and interpretations of empirical results.

Minimum requirements and assessment criteria

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

Examination topics

All material covered in class and in the tutorials.

Reading list

Brooks, C. (2008): “Introductory Econometrics of Finance”, 2nd ed., Cambridge University Press
Bjork, T. (2009): “Arbitrage theory in continuous-time”, Third edition, Oxford Finance.
Campbell, J. Y., A. W. Lo, and A. C. MacKinlay (1997): ''The Econometrics of Financial Markets'', Princeton University Press
Durbin, J. and Koopman, S. J. (2012): ''Time series analysis by state-space methods'', Oxford University Press
Fulop, A. (2011) “Filtering methods“, Handbook of Computational Finance
Hamilton, J. D. (1994): ''Time Series Analysis'', Princeton University Press
Hautsch, N. (2012): “Econometrics of Financial High-Frequency Data”, Springer.
Robert, C. P. and Casella, G. (2009) “Introducing Monte Carlo Methods with R“, 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

Association in the course directory

Last modified: We 12.10.2022 10:09