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
Continuous assessment of course work
MIXED

Achtung: wird anerkannt für Seminar aus Statistik im Magisterstudium für Studierende der Statistik
Seminar: siehe Homepage
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. 24 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

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.

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

Information

Aims, contents and method of the course

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.

Assessment and permitted materials

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.)

Minimum requirements and assessment criteria

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) Home assignments - 30%
3) Paper presentation - 20%

Examination topics

Reading list

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.

Association in the course directory

Last modified: Fr 12.05.2023 00:13