| Coordinator |
Prof. Dr. Roxana Halbleib
|
| Language |
English
|
| Credits |
6 ECTS
|
|
Application Requirements & Rules for Registration and Withdrawal from
the Seminar
|
- The maximum number of participants is limited to ten.
- A preliminary registration at the Chair of Statistics and Econometrics is required!
- For the preliminary registration, please fill in the formulary and send it together with your transcript of records to Conny Hupfer until 29 September 2022 at the latest.
- On 4 October 2022 we will inform by email the students who can take part in the seminar.
- The first meeting will take place on 17 October 2022 at 2 p.m. in room 01012, Rempartstr. 16, 1st floor. In this meeting, we will present you the exact topics you can choose from for the seminar.
- Students will have time until 24 October 2022 to find a partner and choose a topic or to withdraw from the seminar. If you withdraw from the seminar after this deadline you will receive the grade 5.0.
|
|
Meetings
|
First meeting:
- Monday, 17 October 2022, 2 p.m., room 01012, Rempartstr. 16, 1st floor
Presentation meetings:
- 28 to 29 March 2023, room 01012, Rempartstr. 16, 1st floor
|
|
Qualification Target
|
The goal of this seminar is to acquaint master students with advanced and modern econometric methods and their applications to research questions related to financial econometrics, quantitative risk management, high-dimensional and high-frequency finance as well as machine learning in empirical finance.
|
|
Contents
|
The seminar addresses advanced topics in applied financial econometrics. The topics vary each year.
On each topic, students (single or in a group of two) have to write a term paper, in which they apply a novel and/or advanced econometric method to solve real economic problems by undergoing a complex empirical analysis on real (usually big) financial data and by self-programming the codes for the empirical study.
The topics can be individually adapted to allow for being pursued further in a subsequent master thesis.
|
|
Basic Requirements
|
|
|
Recommended Requirements
|
- Parallel enrolment in Financial Econometrics is highly recommended.
- It is highly recommended and desired that two students work on a topic jointly.
|
| Literature |
The list of literature is provided for each topic during the first meeting.
|
|
Examination Type
|
- Term paper (to be submitted one week before the presentation sessions)
- Presentation of the term paper
- Discussion of one paper of the seminar
|
| Target Group |
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 (Finance/Information Systems and Network Economics)
|
| Further Information |
Further information about the seminar can be found here.
|
