040514 VK KFK CF/FI/FM: Empirical Finance (2016W)
Continuous assessment of course work
Labels
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 12.09.2016 09:00 to Th 22.09.2016 14:00
- Deregistration possible until Fr 14.10.2016 14:00
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
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.
- 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.
- 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
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