Universität Wien

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

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

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