119.031 AKOEK The Econometrics of Financial Markets
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2020W, VO, 2.0h, 3.0EC
  • TUWEL online course available from: 02.10.2020 00:00.

Properties

  • Semester hours: 2.0
  • Credits: 3.0
  • Type: VO Lecture
  • Format: Distance Learning

Learning outcomes

After successful completion of the course, students are able to

  • explain the most important characteristic properties of non-stationary (integrated) processes,
  • to explain and to carry out statistical tests for (non-) stationarity and
  • to explain the classical models for conditional variance (volatility)

Subject of course

linear univariate time series models (ARIMA) for stationary processes, characteristic properties of integrated processes, Donskers Theorem, tests for non stationarity (trend), modelling of conditional volatilities (GARCH)

Teaching methods

Lecture with slides and example demonstrations (with R)

Mode of examination

Oral

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Thu13:00 - 15:0008.10.2020 - 28.01.2021 TUWEL Zoom MeetingVO 119.031
AKOEK The Econometrics of Financial Markets - Single appointments
DayDateTimeLocationDescription
Thu08.10.202013:00 - 15:00 TUWEL Zoom MeetingVO 119.031
Thu15.10.202013:00 - 15:00 TUWEL Zoom MeetingVO 119.031
Thu22.10.202013:00 - 15:00 TUWEL Zoom MeetingVO 119.031
Thu29.10.202013:00 - 15:00 TUWEL Zoom MeetingVO 119.031
Thu05.11.202013:00 - 15:00 TUWEL Zoom MeetingVO 119.031
Thu12.11.202013:00 - 15:00 TUWEL Zoom MeetingVO 119.031
Thu19.11.202013:00 - 15:00 TUWEL Zoom MeetingVO 119.031
Thu26.11.202013:00 - 15:00 TUWEL Zoom MeetingVO 119.031
Thu03.12.202013:00 - 15:00 TUWEL Zoom MeetingVO 119.031
Thu10.12.202013:00 - 15:00 TUWEL Zoom MeetingVO 119.031
Thu17.12.202013:00 - 15:00 TUWEL Zoom MeetingVO 119.031
Thu07.01.202113:00 - 15:00 TUWEL Zoom MeetingVO 119.031
Thu14.01.202113:00 - 15:00 TUWEL Zoom MeetingVO 119.031
Thu21.01.202113:00 - 15:00 TUWEL Zoom MeetingVO 119.031
Thu28.01.202113:00 - 15:00 TUWEL Zoom MeetingVO 119.031

Examination modalities

Oral examination

Course registration

Begin End Deregistration end
14.09.2020 00:00 07.10.2020 23:59

Curricula

Literature

J.Y. Campbell, A.W. Lo, A.C. MacKinlay, The Econometrics of Financial Markets
T.C. Mills, The Econometric Modelling of Financial Time Series
P. Hackl, Einführung in die Ökonometrie

Previous knowledge

A basic knowledge of statistics and time series analysis.

Language

German