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Event

Financial Econometrics [SS202520022]

lecture (V)

SS 2020

Englisch

ILIAS

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.

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