040514 VK KFK CF/FM: Empirical Finance (2011W)
Continuous assessment of course work
Labels
Lab 5: 11-12:30, on Thursdays and Fridays, to pratice Eviews
Final Exam: 31.01.2012: 2-4.30 p.m. room 11
Final Exam: 31.01.2012: 2-4.30 p.m. room 11
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).
- Registration is open from Mo 05.09.2011 09:00 to We 21.09.2011 17:00
- Registration is open from Tu 27.09.2011 09:00 to We 28.09.2011 17:00
- Deregistration possible until Fr 14.10.2011 23:59
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
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.
- 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
- 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
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