Universität Wien

040514 VK KFK CF/FM: Empirical Finance (2011W)

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

Lab 5: 11-12:30, on Thursdays and Fridays, to pratice Eviews
Final Exam: 31.01.2012: 2-4.30 p.m. room 11
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

  • Monday 03.10. 12:00 - 14:00 Hörsaal 9
  • Tuesday 04.10. 13:30 - 15:00 EDV-Labor 2
  • Monday 10.10. 12:00 - 14:00 Hörsaal 9
  • Tuesday 11.10. 13:30 - 15:00 EDV-Labor 2
  • Monday 17.10. 12:00 - 14:00 Hörsaal 9
  • Tuesday 18.10. 13:30 - 15:00 EDV-Labor 2
  • Monday 24.10. 12:00 - 14:00 Hörsaal 9
  • Tuesday 25.10. 13:30 - 15:00 EDV-Labor 2
  • Monday 31.10. 12:00 - 14:00 Hörsaal 9
  • Monday 07.11. 12:00 - 14:00 Hörsaal 9
  • Tuesday 08.11. 13:30 - 15:00 EDV-Labor 2
  • Monday 14.11. 12:00 - 14:00 Hörsaal 9
  • Tuesday 15.11. 13:30 - 15:00 EDV-Labor 2
  • Monday 21.11. 12:00 - 14:00 Hörsaal 9
  • Tuesday 22.11. 13:30 - 15:00 EDV-Labor 2
  • Monday 28.11. 12:00 - 14:00 Hörsaal 9
  • Tuesday 29.11. 13:30 - 16:00 EDV-Labor 2
  • Monday 05.12. 12:00 - 14:00 Hörsaal 9
  • Tuesday 06.12. 13:30 - 15:00 EDV-Labor 2
  • Monday 12.12. 12:00 - 14:00 Hörsaal 9
  • Tuesday 13.12. 13:30 - 15:00 EDV-Labor 2
  • Monday 09.01. 12:00 - 14:00 Hörsaal 9
  • Tuesday 10.01. 13:30 - 15:00 EDV-Labor 2
  • Monday 16.01. 12:00 - 14:00 Hörsaal 9
  • Tuesday 17.01. 13:30 - 15:00 EDV-Labor 2
  • Monday 23.01. 12:00 - 14:00 Hörsaal 9
  • Tuesday 24.01. 13:30 - 15:00 EDV-Labor 2
  • Monday 30.01. 12:00 - 14:00 Hörsaal 9
  • Tuesday 31.01. 14:00 - 16:30 Hörsaal 11

Information

Aims, contents and method of the course

The topics covered in Lectures and Lab Classes are:
1. Introduction and basic data handling with Eviews
2. Classical linear regression model
4. Introduction of Time series of financial data
5. Market efficiency and predictability
6. Market microstructure. Non synchronous trading and bid- ask spread
7. CAPM, APT and multifactor models
8. Fund performance
9. Event studies
10. Present-value models
11. Term structure of interest rates
12. Volatility models

Assessment and permitted materials

Continuous assessment.
- 50% of the final mark will come from a written examination at the end of the course.
- 50% of the final mark will come from coursework assigned during the course. It includes lab assignments to be handed in specific weeks of the course, and an end-of-course empirical group project.

Minimum requirements and assessment criteria

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 package EViews.

Examination topics

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.

Reading list

The main textbooks are:
- John Y. Campbell, Andrew W. Lo, and A. Craig MacKinlay (1997), The Econometrics of Financial Markets, Princeton University Press (selected chapters)
- Chris Brooks, (2008), Introductory Econometrics for Finance, Cambridge Press, (selected chapters)

Other suggested readings are:
- Gary Koop (2006) Analysis of Financial Data, Wiley
- K. Cuthbertson (2004), Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange, EDITOR
- Stephen J. Taylor (2005) Asset price dynamics, Volatility and Prediction, Princeton University Press
- Terry J. Watson and Keith Parramore (1997) Quantitative methods in Finance, South-Western
- Dimitrious Asteriou and Stephen G. Hall (2007) Applied Econometrics, Palgrave Macmillan

Association in the course directory

Last modified: Mo 07.09.2020 15:29