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Seminar: Advances in Empirical Finance



Prof. Dr. Roxana Halbleib 






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

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. 


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.

Tentative Topics

  1. Predicting financial profits or losses: a cluster analysis approach
  2. Use the heartbeat of the market to predict financial risks by means of realized volatilities, value-at-risk and expected shortfall
  3. How realistic is the arbitrage on financial markets? A statistical approach
  4. Chasing the normality on the financial markets: a bless or a curse.
  5. Capturing the latency in financial modelling by means of observation-driven and artificial neural network techniques
  6. Modelling and estimating time varying high-dimensional risks by means of observation-driven and artificial neural network techniques
  7. Using textual analysis to predict extremes on financial markets
  8. Can textual analysis explain the housing prices? An econometric approach

Basic Requirements

Recommended Requirements

& Rules for Registration 
and Withdrawal from
the Seminar

  • 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.


The list of literature is provided for each topic during the first meeting (Tuesday, October 19, 2021, 4pm).

Examination Type

  • Term paper (to be submitted one week before the presentation sessions)
  • Presentation of the term paper
  • Discussion of one paper of the seminar
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) 

Further Information  Further information about the seminar can be found here