Universität Wien

040514 VK KFK CF/FI/FM: Empirical Finance (2015W)

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. 50 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

  • Tuesday 06.10. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 07.10. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 13.10. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 14.10. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 20.10. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 21.10. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 27.10. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 28.10. 15:00 - 17:00 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 03.11. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 04.11. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 10.11. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 11.11. 15:00 - 17:00 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 17.11. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 18.11. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 24.11. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 25.11. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 01.12. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 02.12. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Wednesday 09.12. 15:00 - 17:00 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 15.12. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 16.12. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 12.01. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 13.01. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 19.01. 08:00 - 09:30 Seminarraum 14 Oskar-Morgenstern-Platz 1 2.Stock
  • Tuesday 19.01. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 20.01. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 26.01. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 27.01. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß

Information

Aims, contents and method of the course

The topics covered in Lectures and Lab Classes are:
1. Introduction of returns and basic data handling with Eviews
2. Classical linear regression model
3. Assumptions of the classical linear regression model
4. Introduction of time series of financial data
5. Introduction of panel data in financial data
6. Market efficiency and predictability
7. Stock market anomalies
8. Event studies
9. CAPM, APT and multifactor models
10. Fund performance
11. Volatility models
12. Empirical market microstructure

Assessment and permitted materials

The course has continuous assessment.
- 50% of the final mark comes from a written examination at the end of the course, composed of an applied part and a theoretical part.
- 25% comes from a lab-test after the first part of the course
- 20% comes from an empirical group project (due to 31st January).
- 5% comes from active participation in lectures and labs.

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 packages EViews and STATA.

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:
- Chris Brooks, (2008), Introductory Econometrics for Finance, Cambridge University Press, (chap. 1, 2, 3, 4, 5, 8, 13)
- John Y. Campbell, Andrew W. Lo, and A. Craig MacKinlay (1997), The Econometrics of Financial Markets, Princeton University Press (chap. Introduction.4, 1, 2, 3, 4, 5, (6), 7, 10)
- Lee C Adkins, R. Carter Hill (2011), Using STATA for "Principles of econometrics, 4th edition", Wiley, 2011
- Lecture notes and papers suggested during the course.

Association in the course directory

Last modified: Mo 07.09.2020 15:29