040652 VK KFK CF/FM: Advanced Empirical Finance (2012S)
Continuous assessment of course work
Labels
The course consist of 2 weekly hours (Monday, 12 to 14) alternatively in Lecture room 12 or in Lab 2. the attendance is compulsory.
Additional times have been booked for personal study and practise of Eviews in Lab 2, but they are not compulsory.
The attendance of Empirical Finance (winter term) or similar course is a pre-requisite for this course.
Additional times have been booked for personal study and practise of Eviews in Lab 2, but they are not compulsory.
The attendance of Empirical Finance (winter term) or similar course is a pre-requisite for this course.
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 Th 09.02.2012 09:00 to Mo 20.02.2012 17:00
- Registration is open from Mo 27.02.2012 09:00 to Tu 28.02.2012 17:00
- Deregistration possible until We 14.03.2012 23:59
Details
max. 50 participants
Language: English
Lecturers
Classes (iCal) - next class is marked with N
- Monday 05.03. 12:00 - 14:00 Hörsaal 12
- Monday 19.03. 10:00 - 13:00 EDV-Labor 2
- Monday 19.03. 13:00 - 14:00 EDV-Labor 2
- Monday 26.03. 11:00 - 13:00 Hörsaal 12
- Monday 16.04. 12:00 - 14:00 Hörsaal 12
- Monday 23.04. 10:00 - 14:00 EDV-Labor 2
- Monday 30.04. 12:00 - 14:00 Hörsaal 12
- Monday 07.05. 10:00 - 14:00 EDV-Labor 2
-
Monday
14.05.
11:00 - 14:00
EDV-Labor 2
Hörsaal 12 - Monday 21.05. 11:00 - 14:00 EDV-Labor 2
- Monday 04.06. 10:00 - 14:00 EDV-Labor 2
-
Monday
11.06.
11:00 - 14:00
EDV-Labor 2
Hörsaal 12 - Monday 18.06. 11:00 - 14:00 EDV-Labor 2
- Monday 25.06. 11:00 - 14:00 Hörsaal 12
Information
Aims, contents and method of the course
Assessment and permitted materials
Assessment is based on periodic pieces of homework, a group empirical project that will be presented during the course and a final individual exam.
Minimum requirements and assessment criteria
This course follows the introductory course of Empirical Finance (winter term). It aims to focus more in depths on more advanced and the most recent topics in Financial Econometrics and Empirical finance, such as different estimation techniques, time series and panel data, volatility models, switching models and simulation methods
Examination topics
At alternate weeks, 2-hour lectures will be intended to provide the students with the theoretical and intuitive understanding of the econometric techniques of interests.
Then, 2-hour labs will be dedicated to hands-on computer work using the statistical software Eviews, with emphasis on the interpretation of the results.
Then, 2-hour labs will be dedicated to hands-on computer work using the statistical software Eviews, with emphasis on the interpretation of the results.
Reading list
Main textbooks:
- Robert Sollis (2011), Empirical Finance for finance and banking, Wiley (selected chapters),
- Chris Brooks, (2008), Introductory Econometrics for Finance, Cambridge University Press (selected chapters)
- Stephen J. Taylor (2005) Asset price dynamics, Volatility and Prediction, Princeton University Press (selected chapters)
- Robert Sollis (2011), Empirical Finance for finance and banking, Wiley (selected chapters),
- Chris Brooks, (2008), Introductory Econometrics for Finance, Cambridge University Press (selected chapters)
- Stephen J. Taylor (2005) Asset price dynamics, Volatility and Prediction, Princeton University Press (selected chapters)
Association in the course directory
Last modified: Mo 07.09.2020 15:29
1. Introduction: Are markets efficient?
2. Market anomalies
3. Topics in market microstructure
4. Volatility models
5. Switching models
6. Simulation methods
7. Panel data methods
8. Maximum likelihood estimation