040977 SE Seminar in Empirical Finance and Financial Econometrics (2019S)

4.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften

Continuous assessment of course work

Achtung: wird anerkannt für Seminar aus Statistik im Magisterstudium für Studierende der Statistik
Seminar: siehe Homepage

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).

Registration is open from Mo 11.02.2019 09:00 to We 20.02.2019 12:00
Deregistration possible until Th 14.03.2019 23:59

Details

max. 24 participants

Language: English

Lecturers

Ilya Archakov

Classes (iCal) - next class is marked with N

    
    Tuesday
    05.03.
    16:45 - 18:15
    Seminarraum 6  Oskar-Morgenstern-Platz 1  1.Stock
    
    Tuesday
    19.03.
    16:45 - 18:15
    Seminarraum 6  Oskar-Morgenstern-Platz 1  1.Stock
    
    Tuesday
    26.03.
    16:45 - 18:15
    Seminarraum 6  Oskar-Morgenstern-Platz 1  1.Stock
    
    Tuesday
    02.04.
    16:45 - 18:15
    Seminarraum 6  Oskar-Morgenstern-Platz 1  1.Stock
    
    Tuesday
    09.04.
    16:45 - 18:15
    Seminarraum 6  Oskar-Morgenstern-Platz 1  1.Stock
    
    Tuesday
    30.04.
    16:45 - 18:15
    Seminarraum 6  Oskar-Morgenstern-Platz 1  1.Stock
    
    Tuesday
    07.05.
    16:45 - 18:15
    Seminarraum 6  Oskar-Morgenstern-Platz 1  1.Stock
    
    Tuesday
    14.05.
    16:45 - 18:15
    Seminarraum 6  Oskar-Morgenstern-Platz 1  1.Stock
    
    Tuesday
    21.05.
    16:45 - 18:15
    Seminarraum 6  Oskar-Morgenstern-Platz 1  1.Stock
    
    Tuesday
    28.05.
    16:45 - 18:15
    Seminarraum 6  Oskar-Morgenstern-Platz 1  1.Stock
    
    Tuesday
    04.06.
    16:45 - 18:15
    Seminarraum 6  Oskar-Morgenstern-Platz 1  1.Stock
    
    Tuesday
    18.06.
    16:45 - 18:15
    Seminarraum 6  Oskar-Morgenstern-Platz 1  1.Stock
    
    Tuesday
    25.06.
    16:45 - 18:15
    Seminarraum 6  Oskar-Morgenstern-Platz 1  1.Stock
    
    Tuesday
    02.07.
    09:45 - 11:15
    Seminarraum 6  Oskar-Morgenstern-Platz 1  1.Stock

Information

Aims, contents and method of the course

The main objective of the seminar is to give a brief overview of topics in modern financial econometrics, a practical knowledge of performing applied empirical research as well as an experience of working with real financial data.
The seminar also aims to provide a ground for students to practice presentation skills and a critical assessment of research papers.

Assessment and permitted materials

Assessment is based on a term project (possibly, performed in groups) and seminar participation (that might include several different activities).
A project consists of a paper and a presentation of results during the seminar. The research question for a project is supposed to be selected from several suggested topics.
Seminar participation includes several additional activities (referee reports, discussions in class, presentation of selected papers, etc.)

Minimum requirements and assessment criteria

The final grade is compiled as follows:
1) Project - 60%
2) Seminar participation - 40%

Examination topics

Reading list

There will be no unique course textbook. Instead, research papers are recommended as a source of relevant material for the projects.

Some useful textbooks are:

Tsay, RS (2010): Analysis of Financial Time Series: Financial Econometrics, Wiley, 3rd edition.

Hautsch, N. (2012): Econometrics of Financial High-Frequency Data, Springer.

Taylor, SJ (2005): Asset Price Dynamics, Volatility, and Prediction, Princeton University Press.

Association in the course directory

Last modified: Mo 07.09.2020 15:29