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.

2016W, 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, linear univariate time series models (ARIMA), tests for non stationarity (trend), modelling of time varying volatilities (GARCH)

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Thu11:00 - 12:3013.10.2016 - 26.01.2017Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
AKOEK The Econometrics of Financial Markets - Single appointments
DayDateTimeLocationDescription
Thu13.10.201611:00 - 12:30Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
Thu20.10.201611:00 - 12:30Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
Thu27.10.201611:00 - 12:30Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
Thu03.11.201611:00 - 12:30Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
Thu10.11.201611:00 - 12:30Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
Thu17.11.201611:00 - 12:30Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
Thu24.11.201611:00 - 12:30Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
Thu01.12.201611:00 - 12:30Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
Thu15.12.201611:00 - 12:30Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
Thu12.01.201711:00 - 12:30Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
Thu19.01.201711:00 - 12:30Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
Thu26.01.201711:00 - 12:30Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte

Examination modalities

mündlich

Course registration

Not necessary

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