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Event

Financial Econometrics I [WS232520022]

Type

lecture (V)
Präsenz

Term

WS 23/24

SWS

2

Language

Englisch

Appointments

15

Links

ILIAS

Lecturers

Organisation

KIT-Fakultät für Wirtschaftswissenschaften

Part of

Brick Financial Econometrics | Industrial Engineering and Management (M.Sc.)
Brick Financial Econometrics | Industrial Engineering and Management (B.Sc.)
Brick Financial Econometrics | Economics Engineering (M.Sc.)
Brick Financial Econometrics | Economics Engineering (B.Sc.)
Brick Financial Econometrics | Digital Economics (B.Sc.)
Brick Financial Econometrics | Digital Economics (M.Sc.)
Brick Financial Econometrics | Information Systems (M.Sc.)
Brick Financial Econometrics | Information Systems (B.Sc.)
Brick Financial Econometrics | Information Engineering and Management (B.Sc.)
Brick Financial Econometrics | Information Engineering and Management (M.Sc.)
Brick Financial Econometrics | Economathematics (M.Sc.)

Literature

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

Tsay, R. S. (2005): "Analysis of Financial Time Series: Financial Econometrics", Wiley, 2nd edition.

Cochrane, J. H. (2005): "Asset Pricing", revised edition, Princeton University Press.

Campbell, J. Y., A. W. Lo, and A. C. MacKinlay (1997): "The Econometrics of Financial Markets", Princeton University Press.

Hamilton, J. D. (1994): "Time Series Analysis", Princeton University Press.

Additional literature will be discussed in the lecture.

Appointments

23.10.2023 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
30.10.2023 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
06.11.2023 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
13.11.2023 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
20.11.2023 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
27.11.2023 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
04.12.2023 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
11.12.2023 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
18.12.2023 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
08.01.2024 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
15.01.2024 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
22.01.2024 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
29.01.2024 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
05.02.2024 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
12.02.2024 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau

Note

Learning objectives:

The student

shows a broad knowledge of fincancial econometric estimation and testing techniques
is able to apply his/her technical knowledge using software in order to critically assess empirical problems

Content:

ARMA, ARIMA, ARFIMA, (non)stationarity, causality, cointegration, ARCH/GARCH, stochastic volatility models, computer based exercises

Requirements:

It is recommended to attend the course Economics III: Introduction to Econometrics [2520016] prior to this course.

Workload:

Total workload for 4.5 CP: approx. 135 hours

Attendance: 30 hours

Preparation and follow-up: 65 hours

Exam preparation: 40 hours