Universität Wien

040977 SE Seminar in Empirical Finance and Financial Econometrics (2020S)

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).

Details

max. 24 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

  • Tuesday 03.03. 16:45 - 18:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 17.03. 16:45 - 18:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 24.03. 16:45 - 18:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 31.03. 16:45 - 18:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 21.04. 16:45 - 18:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 28.04. 16:45 - 18:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 05.05. 16:45 - 18:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 12.05. 16:45 - 18:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 19.05. 16:45 - 18:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 26.05. 16:45 - 18:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 09.06. 16:45 - 18:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 16.06. 16:45 - 18:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 23.06. 16:45 - 18:15 Seminarraum 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Tuesday 30.06. 16:45 - 18:15 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 15:20