| Coordinator |
Prof. Dr. Roxana Halbleib
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| Language |
English
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| Credits |
6 ECTS
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Meetings
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First meeting:
- Tuesday, October 19, 2021, 4pm
The meeting is planned to be in person: seminar room 01012, Rempartstr. 16, 1st floor.
However, online participation is also possible.
Presentation meetings:
- Wednesday, April 13, 2022
- Thursday, April 14, 2022
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Qualification Target
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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.
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Contents
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The seminar addresses advanced topics in applied financial econometrics. The topics vary each year. A list of tentative topics is given below.
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.
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Tentative Topics
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- Predicting financial profits or losses: a cluster analysis approach
- Use the heartbeat of the market to predict financial risks by means of realized volatilities, value-at-risk and expected shortfall
- How realistic is the arbitrage on financial markets? A statistical approach
- Chasing the normality on the financial markets: a bless or a curse.
- Capturing the latency in financial modelling by means of observation-driven and artificial neural network techniques
- Modelling and estimating time varying high-dimensional risks by means of observation-driven and artificial neural network techniques
- Using textual analysis to predict extremes on financial markets
- Can textual analysis explain the housing prices? An econometric approach
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Basic Requirements
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Recommended Requirements
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Application
Requirements
& Rules for Registration and Withdrawal from
the Seminar
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- 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 October 8, 2021 at the latest.
- On October 12, 2021 we will inform by email the students who can take part in the seminar.
- The first meeting will take place on October 19, 2021 at 4pm. In this meeting, we will present you the exact topics you can choose from for the seminar.
- Students will have time until October 26, 2021 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.
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| Literature |
The list of literature is provided for each topic during the first meeting (Tuesday, October 19, 2021, 4pm).
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Examination Type
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- Term paper (to be submitted one week before the presentation sessions)
- Presentation of the term paper
- Discussion of one paper of the seminar
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| 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)
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| Further Information |
Further information about the seminar can be found here.
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