Financial Data Analysis

Important Information	There will be no lecture and no exercise session on June 28. The lecture will take place during the exercise session on July 5.
Instructor (lectures and exercise sessions):	Dr. Markus Haas
Office hours:	Tue 10:00-12:00, room 2303
Lectures:	Tue 12:00-14:00, lecture hall 1016
Exercise sessions:	Tue 14:00-16:00 lecture hall 1009
Prerequisites:	"Einführung in die Empirische Wirtschaftsforschung", "Ökonometrie 1" or "Applied Econometrics"; "Time Series Analysis" is not required
Language:	The course is taught in English.
Credit points:	6
Exam:	tba
Retake:	tba
Materials:	Lecture slides 3rd May Lecture slides Time Series Analysis (file updated 31 May 2011) Lecture Slides (Difference Equations) Lecture Slides (Time Series Analysis, Part II) Lecture Slides (GARCH Models, Part I) (file updated 13 July 2011) Lecture Slices (Multivariate GARCH) Lecture Slices (Regime-switching Models)
Problem Sets:	Problem set 1 Problem set 2 Problem set 3 Problem set 4 Problem set 5

Course Description:

This course is addressed to advanced students of the Integrated Master Program and students of economics in their final year with the main focus on finance. It provides an introduction to econometric methods used in the analysis of financial data. Topics will include volatility modeling, risk management, and models of dependencies between financial variables. The course aims to facilitate students' awareness of how these methods can be applied to real data, and to provide the ability to understand and assess empirical results reported in the literature.