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Module Number:
| 11976
- module is no longer offered from SS 2018 |
| Module Title: | Financial Econometrics Research Seminar |
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Financial Econometrics Research Seminar
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| Department: |
Faculty 5 - Business, Law and Social Sciences
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| Responsible Staff Member: | -
Dr. rer. pol. Mihoci, Andrija
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| Language of Teaching / Examination: | English |
| Duration: | 1 semester |
| Frequency of Offer: |
Every semester
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| Credits: |
6
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| Learning Outcome: | The students develop an understanding of advanced research methods in financial econometrics and the statistics of financial markets. They conduct economic research projects and are able to apply modern statistical software in practice.
After completing the module, the participants are able to
- understand advanced quantitative topics and applications in research and practice (data, software: MATLAB, R, LaTeX)
- discuss recent developments in financial econometrics
- apply learned methods on own datasets
- present a selected topic
- write a short research or review report
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| Contents: | - High-Frequency Finance
- Quantitative Finance Practice
- Risk Management
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| Recommended Prerequisites: | Knowledge:
- Module Applied Mathematics and Econometrics (11962)
- Module Research Methods in Business Administration and Economics (38427)
- Module Statistics, Econometrics, Optimization (11977)
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| Mandatory Prerequisites: | none |
| Forms of Teaching and Proportion: | -
Seminar
/ 2 Hours per Week per Semester
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Self organised studies
/ 150 Hours
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| Teaching Materials and Literature: | - Franke, J., Härdle, W.K. and Hafner, C. (2015). Statistics of Financial Markets: an Introduction
- Hamilton, J.D. (1994). Time Series Analysis
- Härdle, W.K. and Simar, L. (2015). Applied Multivariate Statistical Analysis
- Härdle, W.K., Hautsch, N. and Mihoci, A. (2015). Local Adaptive Multiplicative ErrorModels for High-Frequency Forecasts, Journal of Applied Econometrics, 30(4) 529-550, doi: 10.1002/jae2376
- Härdle, W.K., Hautsch, N. and Mihoci, A. (2012). Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics, Journal of Empirical Finance19(4) 610-625, doi: 10.1016/j.jempfin.2012.04.002
- Tsay, R.S. (2014). Multivariate Time Series Analysis with R and Financial Applications
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| Module Examination: | Continuous Assessment (MCA) |
| Assessment Mode for Module Examination: | - 3 presentations (each 15 min.) and discussions with the group about a selected topic in financial econometrics (30%)
- Research summary or review report, ca 10 pages (70%)
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| Evaluation of Module Examination: | Performance Verification – graded |
| Limited Number of Participants: | None |
| Part of the Study Programme: | |
| Remarks: | The seminar will be held in English. |
| Module Components: | Financial Econometrics Research Seminar |
| Components to be offered in the Current Semester: | |
