Banner Viadrina

Econometrics of Financial Markets (Statistics in Finance I)

Name of module: Econometrics of Financial Markets (Statistics in Finance I)

Exam number: 6594

Semester/Trimester: Semester

Duration of the module: Ein Semester

Form of the module (i.e. obligatory, elective course): Wahlpflicht

Frequency of module offer: Every third semester, starting winter semester 2008/2009

Prerequisites: Kenntnisse in Mathematik und Statistik.

Applicability of module for other modules and study programmes:
Verwendbar als G-Modul. Serviceveranstaltung für Masterstudierende der Kultur- bzw. Rechtswissenschaften.

Person responsible for module: Prof. Dr. Wolfgang Schmid

Name of the professor: Prof. Dr. Wolfgang Schmid, Dr. habil. Taras Bodnar

Language of teaching: Englisch

ECTS-Credits (based on the workload): 7 (T-Modul); 5 (G-Modul)

Workload and its composition (self-study, contact time):
T-Modul: Kontaktzeit (Vorlesung, Übung, Seminar etc.) 60 Std.; Selbststudium: 150 Std. / G-Modul: Kontaktzeit (Vorlesung, Übung, Seminar etc.) 37,5 Std.; Selbststudium: 112,5 Std.

Contact hours (per week in semester): 3+1

Methods and duration of examination:
Es kann ein Leistungsnachweis erworben werden. Voraussetzung hierfür ist
- beim T-Modul (7 ECTS-Credits) die erfolgreiche Anfertigung einer Projektarbeit.
- beim G-Modul (5 ECTS-Credits) die erfolgreiche Teilnahme an der Mündlichen Prüfung.

Emphasis of the grade for the final grade: 2/29 (T-Modul); 1/29 (G-Modul)

Aim of the module (expected learning outcomes and competencies to be acquired):
The subject of financial econometrics has attracted substantial attention in recent years, especially with the 2003 Nobel Prize awards to Robert Engle and Clive Granger. The objective of the lecture is to provide some knowledge of financial time series analysis, introduce some statistical tools useful for analyzing these series, and gain experience in financial applications of various econometric methods.

Contents of the module:
1. Random walk model and efficient market hypothesis
2. Univariate time series models (ARMA, GARCH)
3. Multivariate time series models and its applications
4. Multivariate volatility models
5. Cointegration

Teaching and learning methods:
Lecture and tutorials

Literature (compulsory reading, recommended literature):
Tsay, R.S.: Analysis of Financial Time Series. Wiley, 2005.
Ruppert, D.: Statistics and Finance. Springer, 2004.
Jondeau, E., Poon, S.-H. and Rockinger, M.: Financial Modeling under Non-Gaussian Distributions. Springer, 2007.
Campbell, J.Y., Lo, A.W., and MacKinlay,A.C.: The Econometics of Financial Markets. Princeton University Press, 1997.

Further information:
Registration in Moodle required.
Chair's web page