Veranstaltungen
Vorlesung
Financial Econometrics
- Name im Diploma Supplement
- Financial Econometrics
- Anbieter
- Lehrstuhl für Finanzmarktökonometrie
- Lehrperson
- Prof. Dr. Yannick Hoga
- SWS
- 2
- Sprache
- englisch
- Turnus
- unregelmäßig
- Erläuterung zum unregelmäßigen Turnus
- 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.
- maximale Hörerschaft
- unbeschränkt
- Hörerschaft
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.