Advanced Econometrics of Financial Markets mit Übung

20.12, 002 (V)
20.12, 002 (Ü)

Freitag 9:45 – 11:15 (V) Geb. 20.12, Raum 002
Freitag 11:30 – 13:00 (Ü) Geb. 20.12, Raum 002 

Dr. Kim, Nazemi, Pieper, Beck

mündlich, nach Vereinbarung

Kurzbeschreibung

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. Factor models and Bayesian methods in risk attributions and financial investments will be discussed. The main topics of the course are:
-Asset Pricing Theory
-Stationary Time-Series Models
-Modeling Financial Time Series: Trends and Volatility Testing for Trends and Unit Roots, Multiequation Time Series Models, Cointegration and Error Correction Models
-Factor Models for Risk Attributions and Forecast
-Bayesian Methods in Investment Decisions    

Literatur

-The Econometrics of Financial Markets", by J.Y. Cambell, A. W. Lo, A. C. MacKinlay, Princeton University Press, 1997
-Ruey S. Tsay, Analysis of Financial Time Series, John Wiley, 2002, NY
-Carol Alexander, Market Models: A Guide to Financial Data Analysis, John Wiley, 2001, Chichester
-W. Enders, Applied Econometric Time Series, John Wiley, 1995

Weiterführende Links:

Lecture-ARMA-GARCH-FactorModels-Final

Lecture Financial Risk and Heavy Tails

zenios_lectures.zip