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Financial Time Series Analysis

The teaching for this course will begin on 04.11.2024. 

 

Registration for the Lecture Students have to sign in for this course in HISinOne. The registration in ILIAS will be carried out automatically.
Registration for the Exam 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. 
Ilias In ILIAS, the course can be accessed without a password until November 4, 2024, 11:45 a.m. Starting with November 4, 2024, 11:46 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 November 4, 2024, 11:46 a.m.
Instructors
Prof. Dr. Ekaterina Kazak
Language
English
Lectures

Block 1:

  • 04.11.2024: 10:15-11:45, HS 1132, KG I
  • 05.11.2024: 10:15-11:45, R 01 014, Wilhelmstraße 26
  • 06.11.2024: 10:15-11:45, HS 1132, KG I
  • 07.11.2024: 10:15-11:45, HS 1132, KG I
  • 08.11.2024: 10:15-11:45, HS 1132, KG I

Block 2:

  • 16.12.2024: 10:15-11:45, HS 1132, KG I
  • 17.12.2024: 10:15-11:45, HS 1132, KG I
  • 18.12.2024: 10:15-11:45, HS 1023, KG I
  • 19.12.2024: 10:15-11:45, R 01 036a, Alte Universität
  • 20.12.2024: 10:15-11:45, HS 1132, KG I


Block 3:

  • 07.01.2025: 10:15-11:45, R 01 036a, Alte Universität
  • 08.01.2025: 10:15-11:45, Co-Creation-Raum, Alte Universität
  • 09.01.2025: 10:15-11:45, R 01 014, Wilhelmstraße 26
  • 10.01.2025: 10:15-11:45, HS 1231, KG I
  • 13.01.2025: 10:15-11:45, online
Exercise Sessions

Block 1:

  • 04.11.2024: 14:15-15:45, HS 1136, KG I
  • 05.11.2024: 14:15-15:45, HS 1132, KG I
  • 06.11.2024: 14:15-15:45, HS 1243, KG I
  • 07.11.2024: 14:15-15:45, HS 1136, KG I
  • 08.11.2024: 14:15-15:45, HS 1140, KG I

Block 2:

  • 16.12.2024: 14:15-15:45, R 01 014, Wilhelmstraße 26
  • 17.12.2024: 14:15-15:45, HS 1132, KG I
  • 18.12.2024: 14:15-15:45, HS 1243, KG I
  • 19.12.2024: 14:15-15:45, HS 1139, KG I
  • 20.12.2024: 14:15-15:45, HS 1231, KG I


Block 3:

  • 07.01.2025: 14:15-15:45, HS 1132, KG I
  • 08.01.2025: 14:15-15:45, HS 1136, KG I
  • 09.01.2025: 14:15-15:45, HS 1108, KG I
  • 10.01.2025: 14:15-15:45, HS 1132, KG I
  • 13.01.2025: 14:15-15:45, online
Credits
6 ECTS
Work load
Approx. 200 hours
Requirements
Statistics, Mathematics, Econometrics, Principles of Finance
Qualification Target
This course aims at endowing students with the necessary econometric knowledge and tools for undergoing empirical research on data observed and sampled regularly in time, i.e. time series data with applications in finance.
Contents

The course covers the fundamentals of time series analysis and financial econometrics 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 R. The topics covered are:

  1. Time Series: introduction, stationarity, ergodicity
  2. Time Series: ARIMA models
  3. Time Series: estimation theory and model diagnostics
  4. Multivariate time series: introduction
  5. Properties of financial data
  6. Univariate conditional variance modelling with GARCH
  7. GARCH models: Estimation theory and model diagnostics
  8. Kalman Filter
  9. Stochastic volatility
  10. Introduction to continuous time models: RV
  11. Tail risk modelling: Value-at-Risk and Expected Shortfall
  12. Multivariate Variance Models: MGARCH
  13. Portfolio Theory
  14. Portfolio Applications
Main References
  • Tsay (2010): Analysis of Financial Time Series, Wiley, New York. eBook
  • Andersen T., Davis R., Kreiß J. and Mikosch T. (2009): Handbook of Financial Time Series, Springer. eBook
  • Enders, W. (2014): Applied Econometric Time Series, 4th ed., Wiley.
  • Hamilton (1994): Time Series Analysis, Princeton University Press, Princeton.
  • Hayashi (2000): Econometrics, Princeton University Press, Princeton.
  • Lütkepohl, H. & Krätzig, M. (2004): Applied Time Series Econometrics, Cambridge University Press. eBook
  • Lütkepohl, H. (2005): New Introduction to Multiple Time Series Analysis, Springer, Heidelberg. eBook
  • Campbell, J. Y., A. W. Lo and A. C. MacKinlay (1997): The Econometrics of Financial Markets, Princeton University Press.
  • Francq, C. and Zakoian J. M. (2011): GARCH models: structure, statistical inference and financial applications, Wiley.com. eBook
  • Franses & van Dijk (2000): Nonlinear Time Series Models in Empirical Finance, Cambridge University Press Cambridge. eBook
  • Gourieroux C. and J. Jasiak (2001): Financial Econometrics, Princeton University Press. eBook
  • McNeil, A. J., R. Frey and P. Embrechts (2015): Quantitative Risk Management: Concepts, Techniques and Tools, Princeton University Press.
VPN access is required for the eBooks.
Exam
  • Written exam (90 minutes): tba
  • A separate registration is mandatory for the exam! Period for registration and deregistration: 16.12.2024 - 16.01.2025
  • Please find further details on the examination office's homepage.
  • 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.
Retake Exam
  • Final written exam (90 minutes): tba
  • A separate registration is mandatory for the exam! Period for registration and deregistration: tba
  • Please find further details on the examination office's homepage.
  • 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.
Grading 100% final exam
Target Group
  • M.Sc. VWL (Accounting, Finance and Taxation / Business Analytics / Constitutional Economics and Competition Policy / Empirical Economics / Network Economics and IT Risk Management)
  • M.Sc. BWL (Volkswirtschaftslehre / Quantitative Methoden / Wirtschaftsinformatik)
  • M.Sc. in Economics (Economics and Politics / Finance / Information Systems and Network Economics / Digital Markets)