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#70173 / #4

Seit WS 2019/20

English

Introduction to Financial Econometrics

6

Werwatz, Axel

benotet

Schriftliche Prüfung

Zugehörigkeit


Fakultät VII

Institut für Volkswirtschaftslehre und Wirtschaftsrecht

37312100 FG Ökonometrie und Wirtschaftsstatistik

Volkswirtschaftslehre

Kontakt


H 57

Plitzko, Franziska

axel.werwatz@tu-berlin.de

PORD-Nr.ModultitelLPBenotungPrüfungsformPNr. (POS)Modulprüfung PORDModulprüfung PNr.
19090

Learning Outcomes

The main focus is on statistical properties of financial data, particularly of stock market returns. A firm knowledge and understanding of statistical models that can capture these properties. The ability to fit and use these models in order to quantify and predict the average level and risk of returns. A key igredient are the weekly tutorials which provide in a computerized classroom hands-on experience in applying the methods covered in the lectures.

Content

Review of Univariate ARIMA Time Series Analysis, Volatility Modeling, (Value at) Risk, Empirical CAPM non-stationary Time Series Models (ARCH, GARCH), Multivariate Time Series Models for Financial Data

Module Components

Pflichtgruppe:

All Courses are mandatory.

Course NameTypeNumberCycleLanguageSWSVZ
Introduction to Financial EconometricsVL71 210 L 1569SSEnglish2
Introduction to Financial EconometricsUE71 210 L 1570SSEnglish2

Workload and Credit Points

Introduction to Financial Econometrics (VL):

Workload descriptionMultiplierHoursTotal
60.0h(~2 LP)
Class attendance15.02.0h30.0h
Pre/post processing15.02.0h30.0h

Introduction to Financial Econometrics (UE):

Workload descriptionMultiplierHoursTotal
60.0h(~2 LP)
Class attendance15.02.0h30.0h
Pre/post processing15.02.0h30.0h

Course-independent workload:

Workload descriptionMultiplierHoursTotal
60.0h(~2 LP)
Exam preparation1.060.0h60.0h
The Workload of the module sums up to 180.0 Hours. Therefore the module contains 6 Credits.

Description of Teaching and Learning Methods

Lecture and Exercise. Exercises take place at the computer lab where real or simulated data and the statistics software package STATA is used. An introduction to STATA will be given at the beginning of the course (Übung).

Requirements for participation and examination

Desirable prerequisites for participation in the courses:

Time Series Analysis

Mandatory requirements for the module test application:

No information

Module completion

Grading

graded

Type of exam

Written exam

Language

English

Duration/Extent

The exam will take 90min

Duration of the Module

The following number of semesters is estimated for taking and completing the module:
1 Semester.

This module may be commenced in the following semesters:
Sommersemester.

Maximum Number of Participants

This module is not limited to a number of students.

Registration Procedures

Please note the information on our website (http://www.statistik.tu-berlin.de).

Recommended reading, Lecture notes

Lecture notes

Availability:  unavailable

 

Electronical lecture notes

Availability:  available
Additional information:
Script will be uploaded on the ISIS system and is protected by a passwort

 

Literature

Recommended literature
Brooks, C. (2002). Introductory econometrics for finance, Cambridge University Press
Campbell, J.Y., A.W. Lo, and A.C.MacKinlay (1997). The Econometrics of Financial Markets, Princeton University Press
Cochrane, J.H. (2001). Asset Pricing, Princeton University Press.
Franke, J., Härdle, W. und Hafner, C. (2004), Einführung in die Statistik der Finanzmärkte, , 2. Aufl., Springer Verlag

Assigned Degree Programs


This module is used in the following Degree Programs (new System):

Studiengang / StuPOStuPOsVerwendungenErste VerwendungLetzte Verwendung
Industrial Economics (M. Sc.)17WS 2019/20WiSe 2022/23
Wirtschaftsingenieurwesen (M. Sc.)18WS 2019/20WiSe 2022/23

Students of other degrees can participate in this module without capacity testing.

Miscellaneous

No information