Advanced Econometrics of Financial Markets mit Übung
type: | lecture | ||
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chair: | Statistik, Ökonometrie und Mathematische Finanzwirtschaft | ||
semester: | SS 2011 | ||
place: | 20.12, 002 (V) |
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time: | Freitag 9:45 – 11:15 (V) Geb. 20.12, Raum 002 |
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start: | 15.04.2011 | ||
lecturer: | Dr. Kim, Nazemi, Pieper, Beck |
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sws: | 4 | ||
lv-no.: | 2520381 | ||
exam: | mündlich, nach Vereinbarung |
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information: | 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:
Literatur -The Econometrics of Financial Markets", by J.Y. Cambell, A. W. Lo, A. C. MacKinlay, Princeton University Press, 1997
Weiterführende Links: Lecture-ARMA-GARCH-FactorModels-Final Lecture Financial Risk and Heavy Tails
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