Universität Wien

040977 SE Seminar in Empirical Finance and Financial Econometrics (2022S)

4.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften
Continuous assessment of course work
REMOTE

Master's Porgram Banking & Finance: Only in summerterm 2022 this course is valid as Seminar in Corporate Finance for Business Orientation (B.1.b.ii).
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

Only in SS 2022 this course can be used as a substitute for course 040259 SE Corporate Finance (MA Banking & Finance, Business Orientation Compulsory ), which will exceptionally not take place in this SS.

  • Friday 04.03. 09:45 - 11:15 Digital
  • Friday 18.03. 09:45 - 11:15 Digital
  • Friday 25.03. 09:45 - 11:15 Digital
  • Friday 01.04. 09:45 - 11:15 Digital
  • Friday 08.04. 09:45 - 11:15 Digital
  • Friday 29.04. 09:45 - 11:15 Digital
  • Friday 06.05. 09:45 - 11:15 Digital
  • Friday 13.05. 09:45 - 11:15 Digital
  • Friday 20.05. 09:45 - 11:15 Digital
  • Friday 03.06. 09:45 - 11:15 Digital
  • Friday 10.06. 09:45 - 11:15 Digital
  • Friday 17.06. 09:45 - 11:15 Digital
  • Friday 24.06. 09:45 - 11:15 Digital

Information

Aims, contents and method of the course

The main objective of the seminar is to give a brief overview of methods in modern financial econometrics and time series modeling, a practical knowledge of performing applied empirical analysis 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 mainly based on a term project (possibly, performed in groups) and seminar participation (that might include several different activities).
A project consists of a final paper (to be submitted in August/September) and a presentation of the selected research question and intermediate results during the seminar (in April/June). The research question for a project is supposed to be selected individually and can be based on one of suggested methodological papers.

Minimum requirements and assessment criteria

As a prerequisite, it is expected that students have taken core courses in probability and statistics and/or econometrics and are familiar with basic probabilistic and econometric concepts (e.g., LLN, CLT, stationarity, least squares estimator, maximum likelihood principle, etc.).
The grade will be based on the course project (intermediate presentation and final paper) and seminar participation.
Intermediate project presentations will take place in April/June, during seminar meetings. The tentative deadline for the final project paper is September 15.

The final grade is compiled as follows:
1) Project paper - 70%
2) Project presentations - 20%
3) Seminar participation - 10%

Examination topics

Preliminary list of topics:
1. Financial prices and returns. Stylized empirical facts.
2. Volatility and risk. GARCH models.
3. High frequency (intraday) data. Realized Variance estimator.
4. Dynamic models for Realized Variance. New generation of GARCH models.
5. Time varying parameters. Dynamic Conditional Score models.
6. Methods for model selection.

Reading list

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

Association in the course directory

Last modified: Th 11.05.2023 11:27