Financial Econometrics

Students have to sign in for this course in HISinOne. The registration in ILIAS will be carried out automatically.

Please note that the registration for the lecture does not automatically mean that you are registered for the exam! A separate registration for the exam is mandatory!
You can find the current examination dates as well as further information on the registration for the examination as well as the deadlines for registration and deregistration of the examinations on the homepage of the examination office.

In ILIAS, the course can be accessed without a password until October 24, 2022, 08:59 a.m. Starting with October 24, 2022, 9:00 a.m., a password will be required in order to access the course material as well as the updates and relevant information in ILIAS. The password will be sent to all registered students via ILIAS on October 24, 2022 at 9:00 a.m.

• Prof. Dr. Roxana Halbleib (Lectures)

• Christian Mücher (Exercise Sessions)

Tuesdays from 12:30 to 14:00 p.m., HS 1221, Kollegiengebäude I

The exercise sessions consist of theoretical and computer sessions. Please bring your own laptops to the exercise sessions.

Tuesdays from 14:15 to 15:45 p.m., Max-Kade-Auditorium 2, Alte Universität (until 8 November 2022). From 15 November onwards, the exercise sessions will take place in HS 1224.

English

6 ECTS

Statistics, Mathematics, Econometrics, Time Series Analysis, Principles of Finance

This course aims at endowing students with the necessary econometric knowledge and tools for undergoing empirical research on financial data.

The course covers the fundamentals of financial econometrics and empirical finance with emphasis on both theoretical foundations and empirical applications. The course aims at sharpening students’ view on the limitations of the theoretical models and their empirical applications as well as at equipping students with a profound knowledge of financial data handling and programming skills in Python.

The main topics covered are:

1. Empirical Properties of Financial Data
2. Univariate GARCH Models
3. Univariate Stochastic Volatility Models
4. Application: Value at Risk and Expected Shortfall
5. Multivariate GARCH Models
6. Application: Portfolio Analysis
7. High-Frequency Finance
8. Realized (Co)variance Models

• Campbell, J. Y., A. W. Lo and A. C. MacKinlay (1997): The Econometrics of Financial Markets, Princeton University Press. eBook
• Francq, C. and Zakoian J. M. (2019): GARCH Models: Structure, Statistical Inference and Financial Applications, 2nd ed., Wiley.com. Old book editions are acceptable as well. eBook
• Franses & van Dijk (2008): Nonlinear Time Series Models in Empirical Finance, 6th print, Cambridge University Press Cambridge. Old book editions are acceptable as well. eBook
• Gourieroux C. and J. Jasiak (2001): Financial Econometrics, Princeton University Press.
• Hayashi, F. (2000): Econometrics, Princeton University Press.
• McNeil, A. J., R. Frey and P. Embrechts (2015): Quantitative Risk Management: Concepts, Techniques and Tools, revised edition, Princeton University Press. Old book editions are acceptable as well.
• Tsay, R. S. (2010): Analysis of Financial Time Series, 3rd ed., John Wiley & Sons. eBook
• Andersen T., Davis R., Kreiß J. and Mikosch T. (2009): Handbook of Financial Time Series, Springer. eBook

• 100% final written exam (90 minutes)

• Date and starting time: March 6, 2023, 9:00 a.m., HS 1199
• The material discussed in the lectures and tutorials is relevant for the exam.
• A separate registration for the exam is mandatory! Period for registration and deregistration: December 19, 2022 until January 19, 2023.
• You can also find the current examination dates as well as further information on the registration for the examination as well as the deadlines for registration and deregistration of the examinations on the homepage of the examination office.
• The exam will be in presence. In the exam you may use a non-programmable calculator, a hard copy of a German-English dictionary book and a one-sided A4 hand-written cheat sheet.
• However, if it becomes necessary due to the Corona pandemic, we will decide in time that the exam will take place online as open book. Open book means that you may use all available materials, but you have to work individually and not communicate with anybody. As we do not supervise you in any form, you will need to sign an agreement that you worked individually.

• Date and starting time: tba

The course can be chosen as an elective 6 ECTS course in:

• M.Sc. BWL (Volkswirtschaftslehre / Quantitative Methoden/Wirtschaftsinformatik)
• M.Sc. VWL (Accounting, Finance and Taxation / Business Analytics / Constitutional Economics and Competition Policy / Empirical Economics / Network Economics and IT Risk Management)
• M.Sc. in Economics (Economics and Politics / Finance / Information Systems and Network Economics)