Universität Wien

040465 FK nBWM Financial Econometrics (2016S)

8.00 ECTS (4.00 SWS), SPL 4 - Wirtschaftswissenschaften
Continuous assessment of course work
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. 40 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

  • Thursday 03.03. 13:15 - 16:30 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
    Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 10.03. 13:15 - 16:30 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
    Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 17.03. 13:15 - 16:30 Hörsaal 17 Oskar-Morgenstern-Platz 1 2.Stock
    PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
    Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 07.04. 13:15 - 16:30 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
    Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 14.04. 13:15 - 16:30 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
    Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 21.04. 13:15 - 16:30 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
    Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 26.04. 15:00 - 18:15 Seminarraum 16 Oskar-Morgenstern-Platz 1 3.Stock
  • Tuesday 03.05. 15:00 - 18:15 Hörsaal 15 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 12.05. 13:15 - 16:30 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
    Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 19.05. 13:15 - 16:30 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
    Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 24.05. 15:00 - 16:30 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 31.05. 15:00 - 18:15 Hörsaal 7 Oskar-Morgenstern-Platz 1 1.Stock
  • Thursday 02.06. 13:15 - 16:30 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
    Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 07.06. 15:00 - 18:15 Seminarraum 16 Oskar-Morgenstern-Platz 1 3.Stock
  • Thursday 16.06. 13:15 - 16:30 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
    Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 23.06. 13:15 - 16:30 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
    Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Thursday 30.06. 13:15 - 16:30 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
    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, the modelling of time-varying volatility as well as the estimation and testing of asset pricing models.
Current topics in modern financial econometric research, such as the modelling of realized volatility
as well as the analysis of financial high-frequency data 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.

Assessment and permitted materials

1) Empirical Homework (20%), 25./27.5. 2016
2) Exam (45%), 30.6. 2016
3) Empirical take-home project (35%), 4.-6.7.2016

Minimum requirements and assessment criteria

1) Empirical Homework (20%), 25./27.5. 2016
2) Exam (45%), 30.6. 2016
3) Empirical take-home project (35%), 4.-6.7.2016

Examination topics

Reading list

Andersen T. G. and Benzoni L. (2009), in: ''Handbook of Financial Time Series'', ed. Andersen, T.G., Davis, R. A., Kreiß, J.-P. and Mikosch, T., Springer, p. 556-576

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

Cochrane, J. H. (2005): “Asset Pricing”, revised edition, Princeton University Press

Davidson, R., and J. G. MacKinnon (2004): “Econometric Theory and Methods”, Oxford
University Press

Franses, P. H., and D. van Dijk (2000): ''Non-Linear Time Series Models in Empirical Finance'', Cambridge University Press

Härdle, W., Hautsch, N., and Overbeck L. (2008): ''Applied Quantitative Finance'', 2nd ed., Springer.

Hamilton, J. D. (1994): ''Time Series Analysis'', Princeton University Press

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

Stock, J. H. and M. W. Watson (2012): Introduction to Econometrics, 3rd edition, Pearson

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: Mo 07.09.2020 15:29