Universität Wien FIND

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040514 VK KFK CF/FI/FM: Empirical Finance (2016W)

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

Registration/Deregistration

Details

max. 50 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

Endterm exam: Tue, 31 Jan 2017, 3pm-4.30pm, PC seminar room 5, OMP1, 1. UG

Tuesday 04.10. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday 05.10. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday 11.10. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday 12.10. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday 18.10. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday 19.10. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday 25.10. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Tuesday 08.11. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday 09.11. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday 15.11. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday 16.11. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday 22.11. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday 23.11. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday 29.11. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday 30.11. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday 13.12. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Tuesday 13.12. 11:30 - 13:00 Seminarraum 1 Oskar-Morgenstern-Platz 1 Erdgeschoß
Tuesday 13.12. 15:00 - 16:30 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Wednesday 14.12. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday 10.01. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday 11.01. 13:15 - 14:45 Seminarraum 1 Oskar-Morgenstern-Platz 1 Erdgeschoß
Wednesday 11.01. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Wednesday 18.01. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
Tuesday 24.01. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
Wednesday 25.01. 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

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