Advanced Econometrics of Financial Markets

  • Typ: Vorlesung
  • Lehrstuhl: Ökonometrie und Statistik
  • Semester: SS 2013
  • Ort:

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

  • Zeit:

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

  • Beginn: 15.04.2013
  • Dozent:


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

    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