Event
Financial Econometrics [WS222520022]
Type
lecture (V)Präsenz/Online gemischt
Term
WS 22/23SWS
2Language
EnglischAppointments
15Links
ILIASLecturers
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 | 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
- 24.10.2022 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
- 31.10.2022 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
- 07.11.2022 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
- 14.11.2022 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
- 21.11.2022 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
- 28.11.2022 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
- 05.12.2022 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
- 12.12.2022 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
- 19.12.2022 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
- 09.01.2023 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
- 16.01.2023 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
- 23.01.2023 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
- 30.01.2023 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
- 06.02.2023 11:30 - 13:00 - Room: 10.91 Mittlerer Hörsaal Maschinenbau
- 13.02.2023 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