Financial Econometrics

Modul: Financial Econometrics (6 Credits)
Name im Diploma Supplement	Financial Econometrics
Verantwortlich	Prof. Dr. Yannick Hoga
Voraussetzungen	Siehe Prüfungsordnung.
Workload	180 Stunden studentischer Workload gesamt, davon: Präsenzzeit: 60 Stunden Vorbereitung, Nachbereitung: 60 Stunden Prüfungsvorbereitung: 60 Stunden
Dauer	Das Modul erstreckt sich über 1 Semester.
Qualifikationsziele	Students acquire comprehensive knowledge of financial econometric methods for both cross-sectional data as well as time series data and are proficient in their application are able to transfer questions concerning financial market data into suitable models, to estimate the models with the help of current methods, to draw valid conclusions from the data and to question the empirical results can competently evaluate and critically examine studies in financial econometrics are able to solve practical problems independently with the help of statistical software
Praxisrelevanz	The practical relevance is high due to the combination of theory and empirical work.
Prüfungsmodalitäten	Written exam (generally 60-90 minutes) or oral exam (generally 20-40 minutes). The chosen examination method (written or oral exam) is defined by the lecturer during the first weeks of the lecture period.
Verwendung in Studiengängen	BWL EaF Master > Wahlpflichtbereich > 1.-3. FS, Wahlpflicht ECMX Master > Wahlpflichtbereich > ME7 Econometric Methods > 1.-3. FS, Wahlpflicht MuU Master > Wahlpflichtbereich I > Wahlpflichtbereich I A.: Methodologie und allgemeine Theorien zur Untersuchung von Märkten und Unternehmen > 1.-3. FS, Wahlpflicht VWL Master > Wahlpflichtbereich I > 1.-3. FS, Wahlpflicht WiMathe Master > VWL-M I > 1.-4. FS, Wahlpflicht WiMathe Master > VWL-M II > 1.-4. FS, Wahlpflicht
Bestandteile	Vorlesung Financial Econometrics (3 Credits) Übung Financial Econometrics (3 Credits)
Modul: Financial Econometrics (WIWI‑M0961)

Vorlesung: Financial Econometrics (3 Credits)
Name im Diploma Supplement	Financial Econometrics
Anbieter	Lehrstuhl für Finanzmarktökonometrie
Lehrperson	Prof. Dr. Yannick Hoga
Semesterwochenstunden	2	Sprache	englisch
Turnus	unregelmäßig	maximale Hörerschaft	###LABEL_NOLIMIT###
empfohlenes Vorwissen Knowledge of basic econometric and statistical methods as well as knowledge of univariate time series analysis. Knowledge of a statistical programming language such as R is also helpful.
Abstract Teaching current financial econometric methods for cross-sectional and time series data.
Lehrinhalte Stochastic discount factor Nonlinear generalized method of moments (GMM) Factor pricing models Equity premium puzzle Predictability of returns Multivariate volatility modeling
Literaturangaben Cochrane, J.H. (2005). Asset Pricing. Princeton University Press. Linton, L. (2019). Financial Econometrics: Models and Methods. Cambridge University Press. Newey, W. K. and McFadden, D. (1994). Large sample estimation and hypothesis testing. In Engle, R. F. and McFadden, D., editors, Handbook of Econometrics, volume 4, chapter 36, pages 2111–2245. Elsevier. Francq, C. and Zakoian, J.-M. (2019). GARCH Models: Structure, Statistical Inference and Financial Applications. Wiley.
didaktisches Konzept Presentation of the material in theory and practice, the latter in R.
Vorlesung: Financial Econometrics (WIWI‑C1254)

Übung: Financial Econometrics (3 Credits)
Name im Diploma Supplement	Financial Econometrics
Anbieter	Lehrstuhl für Finanzmarktökonometrie
Lehrperson	Prof. Dr. Yannick Hoga, wissenschaftliche Mitarbeiter(innen)
Semesterwochenstunden	2	Sprache	englisch
Turnus	unregelmäßig	maximale Hörerschaft	###LABEL_NOLIMIT###
empfohlenes Vorwissen See lecture
Lehrinhalte See lecture
Literaturangaben See lecture
didaktisches Konzept Working on theoretical as well as practical exercises; the latter in R
Übung: Financial Econometrics (WIWI‑C1255)