Econometrics of Financial Markets
Exam number: 6594
Semester: from 1st semester
Duration of the module: One semester
Form of the module (i.e. obligatory, elective etc.): Elective
Frequency of module offer: Each winter semester
Prerequisites: Knowledge in mathematics and statistics
Applicability of module for other study programmes:
Obligatory or elective in other study programmes. For further information check regulations of the study programme.
Person responsible for module: Prof. Dr. Wolfgang Schmid
Name of the professor: Prof. Dr. Wolfgang Schmid
Language of teaching: English
ECTS-Credits (based on the workload): 6
Workload and its composition (self-study, contact time):
Contact time (Lecture, tutorial etc.): 45 h; self-study: 135 h
Contact hours (per week in semester): 4
Methods and duration of examination:
Emphasis of the grade for the final grade: Please check regulations of the study programme
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
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.
Registration in Moodle Viadrina required.