Seminar: Advances in Empirical Finance
| Coordinator | |
| Language |
English |
| Credits |
6 ECTS |
| Application Requirements |
The maximum number of participants is limited to ten. A preliminary registration at the Chair of Statistics and Econometrics is required! For the registration, please fill in the formulary and send it together with your transcript of records to Conny Hupfer until October 16, 2020 at the latest. The students who can take part in the seminar will be informed by email between October 21 and October 22, 2020. |
| Meetings |
First meeting:
Presentation meetings:
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| Requirements |
Basic requirements:
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| 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 |
Advanced topics in applied financial econometrics. The topics vary each year. They are announced in the first meeting at the beginning of the semester. On each topic, students (single or in a group of two) have to write an empirical research 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. The topics can be individually adapted to allow for being pursued further in a subsequent master thesis. |
| Literature |
The list of literature is provided for each topic during the first meeting (November 4, 2020, 12 pm). |
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Examination Type |
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| Target Group |
The course can be chosen as an elective 6 ECTS course in:
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