Applied Financial Econometrics

17.04.2024: The midterm will take place on June 12 during the tutorial.

The three meetings will be on:

• April 17, 2024
• June 5, 2024
• July 17, 2024

22.03.2024: In the summer term 2024 the lecture on Applied Financial Econometrics will be offered as screencast via GRIPS. GRIPS is the elearning platform of the university. In addition there will be three meetings in person. The first one will be on April 17, see tab Appointments and Rooms.

The tutorials take place in person on Wednesdays.

Lecture slides, the catalogue of exercises including the to-do-list and data can be downloaded from this website. R programs can be downloaded from GRIPS.

10.06.2016:

Literature for Bayesian methodology:

• Bayesian Econometrics:
  • Zellner - Introduction to Bayesian Inference 
  • Marin, Robert - Bayesian Core: A Practical Approach o Computational Bayesian Statistics (EBook at UR)
• Bayesian Statistics:
  • Carlin, Stern, Dunson, Vehtan, Rubin - Bayesian Data Analysis
  • Albert - Bayesian Computation with R (EBook at UR)

Aim of the Course:

Participants of this course study the theory and practice for modeling univariate (financial) time series. Students perform empirical projects including programming tasks in R.

The course is taught in English (on request German). 

Course Outline 

1. The basics of time series modeling: autoregressive and moving average processes
2. Forecasting (financial) time series
3. More on time series modeling: unit root tests and diagnostic tools
4. Modeling volatility dynamics: ARCH, GARCH, and TGARCH models as well as appropriate maximum likelihood estimators and their properties
5. Long-run forecasting
6. Explaining returns and estimating factor models 

Literature

Information about the literature can be found on the slides.

Audience / Qualification 

A prerequisite for the participation in the course Applied Financial Economtrics is the participation in the course Econometrics I or an equivalent course plus some basics in R.

The course Applied Financial Economtrics is a compulsory part of the study specializations Empirical Economics and Financial Markets for economics, an optional compulsory part of the study specialization Corporate Finance for business administration, and optional for all other students. 

Grading System

The course consists of one midterm exam (Lernzielkontrolle), the exercise presentation, and a final exam. Details are given in GRIPS or the Modulkatalog

Schedule