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.

2019W, VO, 2.0h, 3.0EC

Properties

  • Semester hours: 2.0
  • Credits: 3.0
  • Type: VO Lecture

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
Thu11:00 - 13:0010.10.2019 - 30.01.2020Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
AKOEK The Econometrics of Financial Markets - Single appointments
DayDateTimeLocationDescription
Thu10.10.201911:00 - 13:00Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
Thu17.10.201911:00 - 13:00Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
Thu24.10.201911:00 - 13:00Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
Thu31.10.201911:00 - 13:00Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
Thu07.11.201911:00 - 13:00Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
Thu14.11.201911:00 - 13:00Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
Thu21.11.201911:00 - 13:00Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
Thu28.11.201911:00 - 13:00Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
Thu05.12.201911:00 - 13:00Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
Thu12.12.201911:00 - 13:00Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
Thu09.01.202011:00 - 13:00Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
Thu16.01.202011:00 - 13:00Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
Thu23.01.202011:00 - 13:00Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte
Thu30.01.202011:00 - 13:00Sem.R. DB gelb 04 AKOEK Ökonometrie d. Finanzmärkte

Examination modalities

Oral examination

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