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Financial Econometrics

Update 21.03.2022:

  • The review of the exam will take place on Monday 25.04.2022, 12 - 14 pm. Prior registration on ILIAS is necessary. For further questions you may contact


Due to the corona pandemic, the teaching of this course for the Winter Semester 2021/22 will be offered exclusively in digital form, i.e. the lectures and the exercise sessions will be recorded and uploaded on ILIAS. All information about the online teaching, videos and materials for this class will be available on ILIAS exclusively.


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.


In ILIAS, the course can be accessed without a password until October 25, 2021, 08:59 am. Starting with October 25, 2021, 9:00 am, password will be required in order to access the course material, the recorded videos of lectures and exercises sessions as well as the updates and relevant information in ILIAS. The password will be sent to all registered students via ILIAS on October 25, 2020 at 9:00 am.

Exercise Sessions

The exercise sessions consist of theoretical and computer sessions.



Live Online Q&A Sessions

Throughout the semester, we will offer Live Online Q&A Sessions on the dates stated below. You can freely enter and ask questions about the material covered in the lectures/exercise sessions. The Q&A Live Sessions take place in BigBlueButton (BBB). The link and the password to the BBB platform will be announced on Ilias.

Day Time Lecturer/Instructor  
02.11.2021 09:00-10:00 Christian Mücher
19.11.2021 11:00-12:00 Roxana Halbleib
23.11.2021 09:00-10:00 Christian Mücher
02.12.2021 10:00-11:00 Roxana Halbleib
21.12.2021 09:00-10:00 Christian Mücher
13.01.2022 10:00-11:00 Roxana Halbleib
25.01.2022 09:00-10:00 Christian Mücher
03.02.2022 09:00-10:00 Roxana Halbleib





Statistics, Mathematics, Econometrics, Time Series Analysis, Principles of Finance

Qualification Target

This course aims at endowing students with the necessary econometric knowledge and tools for undergoing empirical research on financial data.



The course covers the fundamentals of financial econometrics and empirical finance 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 Python.

The main topics covered are:

  1. Empirical Properties of Financial Data
  2. Univariate GARCH Models
  3. Univariate Stochastic Volatility Models
  4. Application: Value at Risk and Expected Shortfall
  5. Multivariate GARCH Models
  6. Application: Portfolio Analysis
  7. High-Frequency Finance
  8. Realized (Co)variance Models
Main References
  • Campbell, J. Y., A. W. Lo and A. C. MacKinlay (1997): The Econometrics of Financial Markets, Princeton University Press. eBook
  • Francq, C. and Zakoian J. M. (2011): GARCH Models: Structure, Statistical Inference and Financial Applications, 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
  • Hayashi, F. (2000): Econometrics, Princeton University Press.
  • McNeil, A. J., R. Frey and P. Embrechts (2015): Quantitative Risk Management: Concepts, Techniques and Tools, Princeton University Press.
  • Tsay, R. S. (2005): Analysis of Financial Time Series, 3rd ed., John Wiley & Sons. eBook
  • Andersen T., Davis R., Kreiß J. and Mikosch T. (2009): Handbook of Financial Time Series, Springer. eBook
  • Final written exam (90 minutes): Friday, March 11, 2022, 10am
  • Online as open book
  • Open book means that you may use all available materials, but you have to work individually and not communicate with anybody. As we do not supervise you in any form, you will need to sign an agreement that you worked individually.

Retake Exam
  • Date and starting time: Thursday, August 18, 2022, 9am, HS 3219
  • A seperate registration is mandatory for the exam! Period for registration and deregistration: June 13, 2022 until July 13, 2022
  • Please find further details on the examination office's homepage.
  • The material discussed in the lectures and tutorials is relevant for the exam.
  • The exam will be in presence. In the exam you may use a non-programmable calculator, a hardcopy of a German-English dictionary book and a one-sided A4 hand-written cheat sheet.
  • However, if it becomes necessary due to the Corona pandemic, we will decide in time that the exam will take place online as open book. Open book means that you may use all available materials, but you have to work individually and not communicate with anybody. As we do not supervise you in any form, you will need to sign an agreement that you worked individually.

100% final exam

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)