Veranstaltungen
Lecture
Financial Econometrics
- Name in diploma supplement
- Financial Econometrics
- Organisational Unit
- Lehrstuhl für Finanzmarktökonometrie
- Lecturers
- Prof. Dr. Yannick Hoga
- SPW
- 2
- Language
- English
- Cycle
- irregular
- Explanation for irregular cycle
- The courses in this module take place irregularly and (usually) in summer semesters. Information on whether the course is offered can be obtained from the chair homepage or the LSF.
- Participants at most
- no limit
- Participants
Preliminary knowledge
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.
Contents
- Stochastic discount factor
- Nonlinear generalized method of moments (GMM)
- Factor pricing models
- Equity premium puzzle
- Predictability of returns
- Multivariate volatility modeling
Literature
- 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.
Teaching concept
Presentation of the material in theory and practice, the latter in R.