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Financial Econometrics I mit Übung

Financial Econometrics I mit Übung
Typ: Vorlesung
Ort:

20.13, 001 (V und Ü)

Zeit:

Di 14:00 - 15:30 (V)
Do 14:00 - 15:30 (Ü)

Dozent:

Schienle, Liang

LVNr.: 252022
Prüfung:

Hauptklausur, 28.07.2016, 8:00 Uhr, Hörsaal Gaede
Nachklausur, 6.10.2016, 8:00 Uhr, Grashof

Inhalt

Course Outline “Financial Econometrics”

Summer Term 2016


1. Financial Returns: Basic Concepts and Properties
1.1. Introduction
1.2. Financial Time Series
     1.2.1. Illustrations
     1.2.2. Returns on Financial Assets
1.3. Distributional Properties of Financial Returns
     1.3.1. Conditional and Marginal Distributions
     1.3.2. Evaluating Marginal Distributions
     1.3.3. Empirical Evidence
     1.3.4. Distributions for Returns


2. Time Series Foundations and Price Dynamics
2.1. Foundations in Time Series Analysis
     2.1.1. Basic Concepts
     2.1.2. Stationarity and Ergodicity
     2.1.3. Testing for White Noise
     2.1.4. Linear Processes
     2.1.5. ARMA Processes
     2.1.6. Estimation and Forecasting of ARMA Processes
     2.1.7. Integrated Time Series
     2.1.8. Box-Jenkins Analysis
     2.1.9. Fractional ARIMA Processes
2.2. Financial Prices and Returns
     2.2.1. The Efficient Market Hypothesis
     2.2.2. Random Walk Tests
     2.2.3. Empirical Evidence
     2.2.4. Present Value Relationships


3. Modelling Time-Varying Volatility
3.1. Introduction
     3.1.1. Different Volatility Concepts
     3.1.2. Some Empirical Facts
     3.1.3. Why to Care?
3.2. GARCH Models
     3.2.1. Model Structure
     3.2.2. The ARCH Model
     3.2.3. The GARCH Model
     3.2.4. Further GARCH Specifications
     3.2.5. Estimation and Testing
     3.2.6. Illustrations
     3.2.7. Value-at-Risk Estimation
     3.2.8. Multivariate GARCH Models
3.3. Stochastic Volatility Models
     3.3.1. Motivation
     3.3.2. Independent SV Processes
     3.3.3. The Standard SV Model
     3.3.4. Empirical Evidence
3.4. Realized Volatility
     3.4.1. Basic Concepts of Continuous-Time Processes
     3.4.2. The Realized Volatility Estimator
     3.4.3. Empirical Properties of the RV Estimator
     3.4.4. RV and Market Microstructure Noise
     3.4.5. Realized Correlation

 

Literature:

Campbell, J. Y., A. W. Lo, and A. C. MacKinlay (1997): ''The Econometrics of Financial
Markets'', Princeton University Press.
Cochrane, J. H. (2005): “Asset Pricing”, revised edition, Princeton University Press
Franses, P. H., and D. van Dijk (2000): ''Non-Linear Time Series Models in Empirical
Finance'', Cambridge University Press.
Härdle, W., Hautsch, N., and Overbeck L. (2008): ''Applied Quantitative Finance'', 2nd ed., Springer.
Hamilton, J. D. (1994): ''Time Series Analysis'', Princeton University Press.
Hasbrouck, J. (2007):“Empirical Market Microstructure: The Institutions, Economics and
Econometrics of Securities Trading”, Oxford University Press.
Tsay, R. S. (2005): ''Analysis of Financial Time Series: Financial Econometrics'', Wiley, 2nd
edition.