Financial Econometrics

This course is designed as an introduction to empirical finance. The focus is on the analysis of financial data as well as on applications of econometric methods to portfolio management, risk management and forecasting.

The detailed study of all fields of financial econometrics is clearly not feasible within this course. Therefore we have chosen a selection of topics which we believe delivers a sound basis for

  • Risk measurement and forecasting,
  • Portfolio analysis,
  • High-frequency finance,

The main aims of this course can be summarized as follows:

1. to spark interest in the field by stressing the most important empirical and practical implications of financial econometrics which can lead to a more specific research;

2. to endow the participants with an econometric toolbox for the analysis of financial data;

3. to equip the participants with a profound knowledge of data handling and programming skills in Python.


    • Econometrics I (or equivalent courses)
    • Basic knowledge of Time Series Analysis

Introductory Literature

Andersen T., Davis R., Kreiss J. and Mikosch T. (2009): Handbook of
Financial Time Series, Springer
Campbell, Lo & MacKinlay (1997): The Econometrics of Financial
Markets, Princeton University Press, Princeton.
Fan, J. and Yao, Q. (2017): The Elements of Financial Econometrics,
Cambridge University Press
Gourieroux & Jasiak (2001): Financial Econometrics, Princeton
University Press, Princeton
McNeil, Frey & Embrechts (2005): Quantitative Risk Management:
Concepts, Techniques and Tools, Princeton University Press, Princeton.
Brockwell, P.J. and Davis, R.A. (2016): Introduction to time series and
forecasting, Springer.
Hamilton (1994): Time Series Analysis, Princeton University Press,
Lütkepohl (2006): New Introduction to Multiple Time Series, Springer,
Nagel (2021), Machine learning in asset pricing, Princeton University Press

Form of Assessment

Grading is based on the Final Exam (70%) and one Take Home Exam (30%).


Date Time Room
Tuesday, 13:30 – 15:00 F420



Date Time Room
Wednesday 17.00 - 18.30 D432

Tutorials start on the 23rd of October 2023. Please install Anaconda prior to the first tutorial.

Please do complete the assigned learning material for the week BEFORE the Wednesday tutorial.

Course Materials

Please register for the course using ZEUS. The registration on ZEUS is open from October 19 . Please register for both, the course and the tutorial. Once you are registered, you will automatically be registered for ILIAS. Via ILIAS you will get all news and can access the course material.