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Econometrics of Financial Markets

Master IBA (alte SPO - T-Modul, G-Modul, neue FSO T-Modul, exam number 6594)

The lectures and tutorials take place in the first semester block of the winter semster 2015/16 (12/10/15 - 29/11/15). The following week is sheduled for the exams.

The course has the follwing structure every week:

Lecture 1  Lecture 2 → Tutorial


This course is an elective one, part of the IBA master programme.


Begin: 12.10.2015  Time  Location  
Lecture 1: Monday 11 - 13 HG 217 Prof. Dr. W. Schmid
Lecture 2: Tuesday 11 - 13 HG 217 Prof. Dr. W. Schmid
Begin: 15.10.2015  Time  Location  
Tutorial: Wednesday 12.15 - 13.45 AB 210 L. Rabyk
    14.15 - 15.45 AB 210 L. Rabyk



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. The lecture is given in English.


1. Introduction to the Modelling of Financial Data

2. Modelling under the i.i.d. Assumption

3. Checking th i.i.d. Assumption

4. Linear Time Dependent Time Series Models (esp. ARMA)

5. Volatility Modelling (esp. GARCH)

6. Model Diagnostics

7. Forecasting

8. Intraday Data

9. Outlook (and Extended Models)



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.

Francq, Christian, and Jean-Michel Zakoian. GARCH models: structure, statistical inference and financial applications. Wiley. com, 2011.

Campbell, J.Y., Lo, A.W., and Mac Kinlay,A.C.: The Econometics of Financial Markets. Princeton University Press, 1997.