Universität Wien
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040977 SE Seminar in Empirical Finance and Financial Econometrics (2021S)

4.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften
Prüfungsimmanente Lehrveranstaltung
GEMISCHT

Achtung: wird anerkannt für Seminar aus Statistik im Magisterstudium für Studierende der Statistik
Seminar: siehe Homepage
Moodle

An/Abmeldung

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

Details

max. 24 Teilnehmer*innen
Sprache: Englisch

Lehrende

Termine (iCal) - nächster Termin ist mit N markiert

Generally, the seminar is supposed to take place on-site, but due to the current circumstances, at least in March, classes will be organized in online format.

  • Donnerstag 04.03. 15:00 - 16:30 Hybride Lehre
    Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Donnerstag 11.03. 15:00 - 16:30 Hybride Lehre
    Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Donnerstag 18.03. 15:00 - 16:30 Hybride Lehre
    Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Donnerstag 25.03. 15:00 - 16:30 Hybride Lehre
    Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Donnerstag 15.04. 15:00 - 16:30 Hybride Lehre
    Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Donnerstag 22.04. 15:00 - 16:30 Hybride Lehre
    Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Donnerstag 29.04. 15:00 - 16:30 Hybride Lehre
    Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Donnerstag 06.05. 15:00 - 16:30 Hybride Lehre
    Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Donnerstag 20.05. 15:00 - 16:30 Hybride Lehre
    Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Donnerstag 27.05. 15:00 - 16:30 Hybride Lehre
    Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Donnerstag 10.06. 15:00 - 16:30 Hybride Lehre
    Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Donnerstag 17.06. 15:00 - 16:30 Hybride Lehre
    Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock
  • Donnerstag 24.06. 15:00 - 16:30 Hybride Lehre
    Hörsaal 13 Oskar-Morgenstern-Platz 1 2.Stock

Information

Ziele, Inhalte und Methode der Lehrveranstaltung

The main objective of the seminar is to give a brief overview of topics in modern financial econometrics, a practical knowledge of performing applied empirical analysis as well as an experience of working with real financial data.
The seminar also aims to provide a ground for students to practice presentation skills and a critical assessment of research papers.

Art der Leistungskontrolle und erlaubte Hilfsmittel

Assessment is mainly based on a term project (possibly, performed in groups), practical home assignments and seminar participation (that might include several different activities).
A project consists of a final paper (to be submitted in September) and a presentation of the selected research question and intermediate results during the seminar (in June). The research question for a project is supposed to be selected individually (possibly, from several suggested directions).
Seminar participation includes several additional activities (discussions in class, presentation of selected papers, etc.)

Mindestanforderungen und Beurteilungsmaßstab

As a prerequisite, it is expected that students have taken core courses in probability theory and some courses in statistics and/or econometrics and are familiar with basic probabilistic and econometric concepts (e.g., LLN, CLT, stationarity, least squares estimator, maximum likelihood principle, etc.).

The final grade is compiled as follows:
1) Project - 50%
2) Homework assignments - 30%
3) Paper presentation - 20%

Prüfungsstoff

Literatur

There will be no unique course textbook. Instead, research papers will be recommended as a source of relevant material for the projects.

Some useful textbooks are:

Tsay, RS (2010): Analysis of Financial Time Series: Financial Econometrics, Wiley, 3rd edition.

Hautsch, N. (2012): Econometrics of Financial High-Frequency Data, Springer.

Taylor, SJ (2005): Asset Price Dynamics, Volatility, and Prediction, Princeton University Press.

Zuordnung im Vorlesungsverzeichnis

Letzte Änderung: Fr 12.05.2023 00:13