Event
Financial Econometrics II [SS242521302]
Lecturers
Organisation
- Ökonometrie und Statistik
Part of
- Brick Financial Econometrics II | Industrial Engineering and Management (M.Sc.)
- Brick Financial Econometrics II | Industrial Engineering and Management (B.Sc.)
- Brick Financial Econometrics II | Economics Engineering (M.Sc.)
- Brick Financial Econometrics II | Economics Engineering (B.Sc.)
- Brick Financial Econometrics II | Digital Economics (B.Sc.)
- Brick Financial Econometrics II | Digital Economics (M.Sc.)
- Brick Financial Econometrics II | Information Systems (M.Sc.)
- Brick Financial Econometrics II | Information Systems (B.Sc.)
- Brick Financial Econometrics II | Information Engineering and Management (B.Sc.)
- Brick Financial Econometrics II | Information Engineering and Management (M.Sc.)
- Brick Financial Econometrics II | Economathematics (M.Sc.)
Literature
Taylor, S. J. (2005): "Asset Price Dynamics, Volatility, and Prediction", Princeton University Press.
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.
Hasbrouck, J. (2007):“Empirical Market Microstructure: The Institutions, Economics and Econometrics of Securities Trading”, Oxford University Press.
Hautsch, N. (2012): ”Econometrics of Financial High-Frequency Data”, Springer.
Additional literature will be discussed in the lecture.
Appointments
- 15.04.2024 11:30 - 13:00 - Room: 11.40 Seminarraum 202
- 22.04.2024 11:30 - 13:00 - Room: 11.40 Seminarraum 202
- 29.04.2024 11:30 - 13:00 - Room: 11.40 Seminarraum 202
- 06.05.2024 11:30 - 13:00 - Room: 11.40 Seminarraum 202
- 13.05.2024 11:30 - 13:00 - Room: 11.40 Seminarraum 202
- 27.05.2024 11:30 - 13:00 - Room: 11.40 Seminarraum 202
- 03.06.2024 11:30 - 13:00 - Room: 11.40 Seminarraum 202
- 10.06.2024 11:30 - 13:00 - Room: 11.40 Seminarraum 202
- 17.06.2024 11:30 - 13:00 - Room: 11.40 Seminarraum 202
- 24.06.2024 11:30 - 13:00 - Room: 11.40 Seminarraum 202
- 01.07.2024 11:30 - 13:00 - Room: 11.40 Seminarraum 202
- 08.07.2024 11:30 - 13:00 - Room: 11.40 Seminarraum 202
- 15.07.2024 11:30 - 13:00 - Room: 11.40 Seminarraum 202
- 22.07.2024 11:30 - 13:00 - Room: 11.40 Seminarraum 202
Note
Lernziele:
Der/ die Studierende
- besitzt umfangreiche Kenntnisse weiterführender finanzökonometrischer Schätz- und Testmethoden
- ist in der Lage diese mit Hilfe statistischer Software umzusetzen und empirische Problemstellungen kritisch zu analysieren
Inhalt:
ARCH/GARCH, stochastische Volatilitätsmodelle, Assetpricing Modelle, Hochfrequenzdaten, Computerbasierte Übungen
Voraussetzungen:
Es werden inhaltliche Kenntnisse der Veranstaltung Financial Econometrics [2520022] vorausgesetzt.
Arbeitsaufwand:
Gesamtaufwand bei 4,5 Leistungspunkten: ca. 135 Stunden
Präsenzzeit: 30 Stunden
Vor- /Nachbereitung: 65 Stunden
Prüfung und Prüfungsvorbereitung: 40 Stunden