| Course language | Semester | Hours per week | ECTS | Exam |
|---|---|---|---|---|
| English | Summer semester | 2L+2E | 6 | Presentations Intermediate exam (30 minutes) Final exam (90 minutes) |
Contents
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.
Course Outline
- The basics of time series modelling: autoregressive and moving average processes
- Forecasting (financial) time series
- More on time series modelling: unit root tests and diagnostic tools
- Modelling volatility dynamics: ARCH, GARCH, and TGARCH models as well as appropriate maximum likelihood estimators and their properties
- Long-run forecasting
- Explaining returns and estimating factor models
Literature
Information about the literature can be found on the slides, see below.
Audience / Qualification
A prerequisite for the participation in the course Applied Financial Economtrics is the participation in an introductory econometrics course or an equivalent course plus some basics in R.
Grading System
The course consists of one midterm exam, the exercise presentation, and a final exam. Details are given in GRIPS (external link, opens in a new window) or the module catalogue. (external link, opens in a new window)
