Universität Wien
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040045 KU Econometrics in Finance (MA) (2022W)

8.00 ECTS (4.00 SWS), SPL 4 - Wirtschaftswissenschaften
Prüfungsimmanente Lehrveranstaltung
VOR-ORT
Moodle

An/Abmeldung

Hinweis: Ihr Anmeldezeitpunkt innerhalb der Frist hat keine Auswirkungen auf die Platzvergabe (kein "first come, first served").

Details

max. 50 Teilnehmer*innen
Sprache: Englisch

Lehrende

Termine (iCal) - nächster Termin ist mit N markiert

Students have to sign in during the first week of the semester. Signing off is only possible until at latest until October 15, 2022. Students who are still signed in after October 15, 2022 will be graded!

Lecture:
Tuesdays (04.10.22-31.01.23) 13:15-14:45; See course information
Thursdays (06.10.22-26.01.23) 13:15-14:45; See course information

Tutorial:
Wednesdays (05.10.22-25.01.23) 11:30-13:00; See course information

  • Dienstag 04.10. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Mittwoch 05.10. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Donnerstag 06.10. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Dienstag 11.10. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Mittwoch 12.10. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Donnerstag 13.10. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Dienstag 18.10. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Mittwoch 19.10. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Donnerstag 20.10. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Dienstag 25.10. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Donnerstag 27.10. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Donnerstag 03.11. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Dienstag 08.11. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Mittwoch 09.11. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Donnerstag 10.11. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Dienstag 15.11. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Mittwoch 16.11. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Donnerstag 17.11. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Dienstag 22.11. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Mittwoch 23.11. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Donnerstag 24.11. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Dienstag 29.11. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Mittwoch 30.11. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Donnerstag 01.12. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Dienstag 06.12. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Mittwoch 07.12. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Dienstag 13.12. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Mittwoch 14.12. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Donnerstag 15.12. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Dienstag 10.01. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Mittwoch 11.01. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Donnerstag 12.01. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Dienstag 17.01. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Mittwoch 18.01. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Donnerstag 19.01. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Dienstag 24.01. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Mittwoch 25.01. 11:30 - 13:00 Seminarraum 10, Kolingasse 14-16, OG01
  • Donnerstag 26.01. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02
  • Dienstag 31.01. 13:15 - 14:45 Seminarraum 17, Kolingasse 14-16, OG02

Information

Ziele, Inhalte und Methode der Lehrveranstaltung

Recent years have witnessed a growing need for econometric methods in financial research and practice. As a result, financial econometrics has become one of the most active areas of research in econometrics.
This course aims to provide students an introduction into the field and an overview of the most important topics and techniques. Having predominantly an applied focus, it attempts to balance between derivations of basic theoretical relations, fundamental methodology, the analysis of specific financial econometric models, applications thereof as well as the discussion of important empirical findings.
The course deals with the estimation and testing of asset pricing models, techniques for factor selection, modelling and predicting time-varying volatility and correlation with high-frequency data, derivative pricing techniques, stochastic volatility models and Bayesian filtering. If time allows application of machine learning techniques for asset pricing and time series models will be considered.
Moreover, an important objective is to provide a comprehensive knowledge to do empirical work in financial research and practice. Therefore, a part of the course consists of practical exercises where students are instructed to apply econometric concepts to real financial data. In this context, students will be introduced to basic programming and application steps using the statistical software package R.

Form of Teaching
If permitted by Covid regulation, the course will be taught in physical presence in class room. Whenever necessary due to Covid restrictions, a hybrid or fully digital format via Zoom will be chosen. Corresponding announcements will be done via Moodle.

Art der Leistungskontrolle und erlaubte Hilfsmittel

The assessment consists of the following parts:

i) Homework assignments. Students will receive homework assignment every 2/3 weeks to be solved and presented during the tutorials. The assignments can consist of small questions, analytical derivations and/or small data work in R.

ii) Empirical take-home project, 6.2.-12.2. 2023. Students will receive datasets and have to perform econometric analyses in R in order to address certain economic questions. The analysis and results have to be documented in a research report (max. 7 pages), and R codes used in the study have to be uploaded. All results must be easily replicable in R. Depending on the number of students participating in the course, group work may be allowed (will be announced in due). The effective working time corresponds approximately to one working day, but students have one week to perform the analysis. Download of data and instructions as well as upload of reports and R codes are performed through Moodle.

(iii) Final test, 26.1. 2022, on all material covered in the course. The test will take approximately 45-60 minutes, will be carried out in class room or remotely through Moodle. The questions will refer to general material covered in the course, analytical derivations, and interpretations of empirical results.

Permitted material: For assignments (i) and (ii), any material can be used. For (iii), no additional material except of a pocket calculator is permitted.

Mindestanforderungen und Beurteilungsmaßstab

For the final grade, (i) counts 30%, (ii) counts 35%, and (iii) counts 35%.

To pass the course, a minimum level of 45% has to be reached.

Rating:
[85%; 100%]: 1.0
[70%; 85%): 2.0
[55%; 70%): 3.0
[45%; 55%): 4.0
[0; 45%): 5.0

Prüfungsstoff

All material covered in class and in the tutorials.

Literatur

Brooks, C. (2008): “Introductory Econometrics of Finance”, 2nd ed., Cambridge University Press
Bjork, T. (2009): “Arbitrage theory in continuous-time”, Third edition, Oxford Finance.
Campbell, J. Y., A. W. Lo, and A. C. MacKinlay (1997): ''The Econometrics of Financial Markets'', Princeton University Press
Durbin, J. and Koopman, S. J. (2012): ''Time series analysis by state-space methods'', Oxford University Press
Fulop, A. (2011) “Filtering methods“, Handbook of Computational Finance
Hamilton, J. D. (1994): ''Time Series Analysis'', Princeton University Press
Hautsch, N. (2012): “Econometrics of Financial High-Frequency Data”, Springer.
Robert, C. P. and Casella, G. (2009) “Introducing Monte Carlo Methods with R“, Springer.
Taylor, S. J. (2005): ''Asset Price Dynamics, Volatility, and Prediction'', Princeton University Press
Tsay, R. S. (2010): ''Analysis of Financial Time Series: Financial Econometrics'', Wiley, 3rd edition

Zuordnung im Vorlesungsverzeichnis

Letzte Änderung: Mi 12.10.2022 10:09