Universität Wien
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040514 VK KFK CF/FI/FM: Empirical Finance (2014W)

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 07.10. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 08.10. 15:00 - 17:00 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 14.10. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 15.10. 15:00 - 17:00 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 21.10. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 22.10. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 28.10. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 29.10. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 04.11. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 05.11. 15:00 - 17:00 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 11.11. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 12.11. 15:00 - 17:00 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 18.11. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 19.11. 15:00 - 17:00 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 25.11. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 26.11. 15:00 - 17:00 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 02.12. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 03.12. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 09.12. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 10.12. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 16.12. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 17.12. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Wednesday 07.01. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 13.01. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 14.01. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 20.01. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 21.01. 15:00 - 16:35 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß
  • Tuesday 27.01. 09:45 - 11:15 Hörsaal 8 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 28.01. 15:00 - 17:00 PC-Seminarraum 5 Oskar-Morgenstern-Platz 1 1.Untergeschoß

Information

Aims, contents and method of the course

The topics covered in Lectures and Lab Classes are:
1. Introduction of returns and basic data handling with Eviews
2. Classical linear regression model
3. Assumptions of the classical linear regression model
4. Introduction of time series of financial data
5. Introduction of panel data in financial data
6. Market efficiency and predictability
7. Stock market anomalies
8. Event studies
9. CAPM, APT and multifactor models
10. Fund performance
11. Volatility models
12. Empirical market microstructure

Assessment and permitted materials

The course has continuous assessment.
- 50% of the final mark comes from a written examination at the end of the course (28th January), composed of an applied part and a theoretical part.
- 25% comes from a lab-test after the first part of the course (25th November)
- 20% comes from an empirical group project (due to 31st January).
- 5% comes from active participation in lectures and labs.

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 packages EViews and STATA.

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

Other suggested readings are:
- John Y. Campbell, Andrew W. Lo, and A. Craig MacKinlay (1997), The Econometrics of Financial Markets, Princeton University Press
- K. Cuthbertson (2004), Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange, Wiley (chap. 8, 9, 20)
- Andrei Shleifer (2001), Inefficient markets, Oxford (chap. 1)
- Gary Koop (2006) Analysis of Financial Data, Wiley
- 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
- John H. Cochrane (2001) Asset Pricing, Princeton University Press.
- I. Gusti Ngurah Agung (2009) Time Series Data Analysis Using EViews, Wiley

Association in the course directory

Last modified: Mo 07.09.2020 15:29