Seminar in Empirical Finance

Coordinators	Prof. Dr. Roxana Halbleib Prof. Dr. Winfried Pohlmeier
Language	English
Credits	6 ECTS
Application Requirements & Rules for Registration and Withdrawal from the Seminar	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 26 September 2024 at the latest. On 30 September 2024 we will inform by email the students who can take part in the seminar. The first meeting will take place on 17 October 2024 at 10 a.m. in room 02012, Rempartstr. 16, 2^nd 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 2024 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: Thursday, 17 October 2024, 10 a.m., room 02012, Rempartstr. 16, 2^nd floor Presentation meetings: The presentations will take place in March 2025. Exact days will be announced soon.
Qualification Target	The goal of this seminar is to acquaint master students with 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 mainly 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	Successful completion of the class Intermediate Econometrics Good knowledge in a programming language (R, Python, Matlab, etc.)
Recommended Requirements	Parallel enrollment in “Financial Econometrics” or “Time Series Analysis” related classes like Financial Time Series Analysis is highly recommended. Knowledge of modern machine learning techniques is an advantage. We also could provide the videos of these lectures from the COVID time period. 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 at the beginning of the semester.
Examination Type	Term paper (to be submitted one week before the presentation sessions) Presentation of the term paper Discussion of one fellow's seminar paper
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 / Digital Markets)
Further Information	Further information about the seminar can be found here.