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Advanced Econometrics of Financial Markets

Advanced Econometrics of Financial Markets
Typ: Vorlesung
Lehrstuhl: Ökonometrie und Statistik
Semester: SS 2013

Geb. 20.13, 109 (V)
Geb. 20.13, 109 (Ü)


Mo u. Fr 09:45 – 11:15  
Mo u. Fr 11:30 – 13:00   

Beginn: 15.04.2013


SWS: 4
LVNr.: 2520381
Prüfung: mündlich nach Vereinbarung

To be held in English

The econometric methods used to analyze financial markets have experienced increasing importance in recent years. This course describes the econometric methods now widely used in financial industry to deal with estimating and evaluating asset pricing models, equilibrium and derivative pricing, market microstructure, options, bonds and the term-structure of interest rates. A special emphasis will be made to model nonlinearities and other "anomalies" of financial data. Fat-tailed (Tempered stable) and stochastic volatility models will be discussed.
The main topics of the course are:
• Tempered Stable Process and Levy Process
• Option Pricing under Levy Process Models
• GARCH Option Pricing Model with Tempered Stable Innovations
• ARMA-GARCH Model with Tempered Stable Innovations
• Risk Management with ARMA-GARCH-TS Model
• Multivariate Tempered Stable Model and Portfolio Optimization

S. T. Rachev, Y. S. Kim, M. L. Bianchi, and F. J. Fabozzi (2011), Financial Models with Levy Processes and Volatility Clustering, John Wiley & Sons
Rachev S. T.,  Mittnik S., Fabozzi, F., Foccardi, S., Jasic, T., Financial Econometrics, John  Wiley, Finance, 2007.
Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization: The Ideal Risk, Uncertainty, and Performance Measures,  Rachev, S.,  Menn C. and Fabozzi F. ,  John Wiley, Finance, 2008
Fat-Tailed and Skewed Asset Return Distributions: Implications for  Risk Management, Portfolio selection, and Option Pricing,  Rachev, S.,  Stoyanov , S. V. and Fabozzi F. ,  John Wiley, Finance, 2005
Modern Investment Theory, Robert A. Haugen

Am Freitag, den 26.04.2013, fällt die Vorlesung "Advanced Econometrics of Financial Markets" bei Herrn Dr. Kim aus!

Weiterführende Links:


Lecture Financial Risk and Heavy Tails  




TS-Lecture Notes