Universität Wien

040514 VK KFK CF/FM: Empirical Finance (2012W)

8.00 ECTS (4.00 SWS), SPL 4 - Wirtschaftswissenschaften
Continuous assessment of course work
Moodle

Registration/Deregistration

Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).

Details

max. 50 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

  • Tuesday 02.10. 10:00 - 12:00 Hörsaal 3
  • Tuesday 02.10. 17:30 - 19:30 EDV-Labor 2
  • Tuesday 09.10. 10:00 - 12:00 Hörsaal 3
  • Tuesday 09.10. 17:30 - 19:30 EDV-Labor 2
  • Tuesday 16.10. 10:00 - 12:00 Hörsaal 3
  • Tuesday 16.10. 17:30 - 19:30 EDV-Labor 2
  • Tuesday 23.10. 10:00 - 12:00 Großer Hörsaal 2
  • Tuesday 23.10. 17:30 - 19:30 EDV-Labor 2
  • Tuesday 30.10. 10:00 - 12:00 Großer Hörsaal 2
  • Tuesday 30.10. 17:30 - 19:30 EDV-Labor 2
  • Tuesday 06.11. 10:00 - 12:00 Hörsaal 3
  • Tuesday 06.11. 17:30 - 19:30 EDV-Labor 2
  • Tuesday 13.11. 10:00 - 12:00 Hörsaal 3
  • Tuesday 13.11. 17:30 - 19:30 EDV-Labor 2
  • Tuesday 20.11. 10:30 - 12:00 Hörsaal 3
  • Tuesday 20.11. 17:30 - 19:30 EDV-Labor 2
  • Tuesday 27.11. 10:30 - 12:00 Hörsaal 3
  • Tuesday 27.11. 17:30 - 19:30 EDV-Labor 2
  • Tuesday 04.12. 10:00 - 11:30 Hörsaal 4
  • Tuesday 04.12. 17:30 - 19:30 EDV-Labor 2
  • Tuesday 11.12. 10:00 - 11:30 Hörsaal 4
  • Tuesday 11.12. 17:30 - 19:30 EDV-Labor 2
  • Tuesday 18.12. 10:30 - 12:30 Hörsaal 3
  • Tuesday 18.12. 17:30 - 19:30 EDV-Labor 2
  • Tuesday 08.01. 10:00 - 11:30 Hörsaal 4
  • Tuesday 08.01. 17:30 - 19:30 EDV-Labor 2
  • Thursday 10.01. 12:00 - 14:00 EDV-Labor 2
  • Monday 14.01. 14:00 - 16:00 EDV-Labor 2
  • Tuesday 15.01. 10:00 - 11:30 Hörsaal 4
  • Tuesday 15.01. 17:30 - 19:30 EDV-Labor 2
  • Tuesday 22.01. 10:00 - 12:00 Hörsaal 3
  • Tuesday 22.01. 17:30 - 19:30 EDV-Labor 2
  • Tuesday 29.01. 10:00 - 12:00 Hörsaal 3
  • Tuesday 29.01. 17:30 - 19:30 EDV-Labor 2

Information

Aims, contents and method of the course

The topics covered in Lectures and Lab Classes are:
1. Introduction and basic data handling with Eviews
2. Classical linear regression model
4. Introduction of Time series of financial data
5. Market efficiency and predictability
6. Market microstructure. Non synchronous trading and bid- ask spread
7. CAPM, APT and multifactor models
8. Fund performance
9. Event studies
10. Present-value models
11. Term structure of interest rates
12. Volatility models

Assessment and permitted materials

Continuous assessment.
- 50% of the final mark will come from a written examination at the end of the course.
- 50% of the final mark will come from coursework assigned during the course. It includes lab assignments to be handed in specific weeks of the course, and an end-of-course empirical group project.

Minimum requirements and assessment criteria

This course aims to introduce financial econometrics with particular emphasis on its empirical applications. It provides students with the concepts of the econometric techniques widely applied in finance, and their hand-on applications and interpretations. It aims to develop computer skills in financial analysis, using the statistical package EViews.

Examination topics

2-hour lectures aim to provide the students with the theoretical and intuitive understanding of the econometric techniques of interests. Then, 2-hour labs are dedicated to hands-on computer work using the software Eviews, with emphasis on the interpretation of the results.

Reading list

The main textbooks are:
- John Y. Campbell, Andrew W. Lo, and A. Craig MacKinlay (1997), The Econometrics of Financial Markets, Princeton University Press (selected chapters)
- Chris Brooks, (2008), Introductory Econometrics for Finance, Cambridge Press, (selected chapters)

Other suggested readings are:
- Gary Koop (2006) Analysis of Financial Data, Wiley
- K. Cuthbertson (2004), Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange, EDITOR
- Stephen J. Taylor (2005) Asset price dynamics, Volatility and Prediction, Princeton University Press
- Terry J. Watson and Keith Parramore (1997) Quantitative methods in Finance, South-Western
- Dimitrious Asteriou and Stephen G. Hall (2007) Applied Econometrics, Palgrave Macmillan

Association in the course directory

Last modified: Mo 07.09.2020 15:29