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.

2009S, VO, 2.0h, 3.0EC

Properties

Semester hours: 2.0
Credits: 3.0
Type: VO Lecture

Aim of course

This lecture is an introduction to the quantitive analysis and modelling of financial data (asset returns, interest rates, ...)

Subject of course

Capital Asset Pricing Model, univariate time series models (ARIMA), tests for non stationarity (trend), modelling of time varying volatilities (GARCH), multivariate time series models (VAR, cointegration)

Additional information

Ein Skriptum zur Vorlesung gibt es zwar nicht, aber die Folien und die R - Beispielprogramme sind auf der Homepage der Vorlesung zu finden.

Lecturers

Scherrer, Wolfgang

Institute

E105 Institute of Statistics and Mathematical Methods in Economics

Course dates

Day	Time	Date	Location	Description
Thu	09:30 - 11:00	12.03.2009 - 30.06.2009	Hörsaal 14	SCHERRER

Show single appointments

AKOEK The Econometrics of Financial Markets - Single appointments

Day	Date	Time	Location	Description
Thu	12.03.2009	09:30 - 11:00	Hörsaal 14	SCHERRER
Thu	19.03.2009	09:30 - 11:00	Hörsaal 14	SCHERRER
Thu	26.03.2009	09:30 - 11:00	Hörsaal 14	SCHERRER
Thu	02.04.2009	09:30 - 11:00	Hörsaal 14	SCHERRER
Thu	09.04.2009	09:30 - 11:00	Hörsaal 14	SCHERRER
Thu	16.04.2009	09:30 - 11:00	Hörsaal 14	SCHERRER
Thu	23.04.2009	09:30 - 11:00	Hörsaal 14	SCHERRER
Thu	30.04.2009	09:30 - 11:00	Hörsaal 14	SCHERRER
Thu	07.05.2009	09:30 - 11:00	Hörsaal 14	SCHERRER
Thu	14.05.2009	09:30 - 11:00	Hörsaal 14	SCHERRER
Thu	21.05.2009	09:30 - 11:00	Hörsaal 14	SCHERRER
Thu	28.05.2009	09:30 - 11:00	Hörsaal 14	SCHERRER
Thu	04.06.2009	09:30 - 11:00	Hörsaal 14	SCHERRER
Thu	11.06.2009	09:30 - 11:00	Hörsaal 14	SCHERRER
Thu	18.06.2009	09:30 - 11:00	Hörsaal 14	SCHERRER
Thu	25.06.2009	09:30 - 11:00	Hörsaal 14	SCHERRER

Examination modalities

mündlich

Course registration

Not necessary

Curricula

Study Code	Obligation	Semester	Precon.	Info
066 400 Mathematics	Not specified
066 401 Statistics	Not specified
066 402 Mathematics in Science and Technology	Not specified
066 403 Mathematics in Economics	Not specified
066 404 Mathematics in Computer Science	Not specified
066 405 Financial and Actuarial Mathematics	Not specified
066 415 Actuarial Mathematics	Not specified
860 Technical Mathematics	Not specified
864 Mathematics for Natural Sciences	Not specified
866 Economic Mathematics	Not specified
867 Statistics	Not specified
869 Mathematics in Computer Science	Not specified
873 Finance and Actuarial Mathematics	Not specified

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

Miscellaneous

Course homepage

Language

German