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,
- Systemic Risk
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 MATLAB.
- Econometrics I (or equivalent courses)
- Basic knowledge of Time Series Analysis
Campbell, J. Y., A. W. Lo and A. C. MacKinlay (1997): The Econometrics of Financial Markets, Princeton University Press.
Francq, C. and Zakoian J.M. (2011): GARCH models: structure, statistical inference and financial applications, Wiley. com
Gourieroux C. and J. Jasiak (2001): Financial Econometrics, Princeton University Press.
Hayashi, F. (2002): Econometrics, Princeton University Press.
McNeil, A.J., R. Frey and P. Embrechts: Quantitative Risk Management: Concepts, Techniques and Tools, Princeton University Press.
Tsay, R. S. (2005). Analysis of financial time series (Vol. 543). John Wiley & Sons.
Grading is based on the Final Exam (70%) and one Take Home Exam (30%).
|Lectures||Friday||10:00 - 11:30||G 308||R. Halbleib|
|Tutorials||Wednesday||15:15 - 16:45||CIP Pool BS 217||E. Kazak|
Note that the first introductory tutorial takes place on October 24th
The course material will be provided via ILIAS.