11686 - Financial Econometrics Research Seminar Modulübersicht

Module Number: 11686 - module is no longer offered from SS 2020
Module Title:Financial Econometrics Research Seminar
  Financial Econometrics Research Seminar
Department: Faculty 5 - Business, Law and Social Sciences
Responsible Staff Member:
  • Dr. rer. pol. Mihoci, Andrija
Language of Teaching / Examination:English
Duration:1 semester
Frequency of Offer: Every semester
Credits: 6
Learning Outcome:

After completing the module, the participants should be able to:

  • understand advanced quantitative topics and applications in research and practice (data, software: R, Excel)
  • discuss recent developments in financial econometrics
  • apply learned methods on own datasets
  • present a selected topic
  • write a short research or review report
  • 1. High-Frequency Finance
  • 2. Quantitative Finance Practice
  • 3. Risk Management
Recommended Prerequisites:


  • Module 38324 Statistik II or
  • Module 38427 Forschungsmethoden der Betriebswirtschaftslehre
Mandatory Prerequisites:None
Forms of Teaching and Proportion:
  • Seminar / 2 Hours per Week per Semester
  • Self organised studies / 150 Hours
Teaching Materials and Literature:
  • Härdle, W., Hautsch, N. and Mihoci, A. (2015). Local Adaptive Multiplicative Error Models for High-Frequency Forecasts, Journal of Applied Econometrics30(4): 529–550, doi: 10.1002/jae.2376
  • Härdle, W., Mihoci, A. and Ting, C. (2015). Adaptive Order Flow Forecasting with Multiplicative Error Models, submitted to Quantitative Finance. 09.01.2015, manuscript ID, RQUF-2015-0005,SFB 649 DP 2014-35
  • Härdle, W., Hautsch, N. and Mihoci, A. (2012). Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics, Journal of Empirical Finance 19(4) 610–625, doi: 10.1016/j.jempfin.2012.04.002
Module Examination:Continuous Assessment (MCA)
Assessment Mode for Module Examination:
  • Research summary or review report, about 10 pages (70%)
  • 3 presentations (each 15 min.) and discussions with the group about a selected topic in financial econometrics (30%)
Evaluation of Module Examination:Performance Verification – graded
Limited Number of Participants:None
Part of the Study Programme:
  • no assignment
Remarks:No offer in wintersemester 19/20.
Module Components:
  • Financial Econometrics Research Seminar (seminar)
Components to be offered in the Current Semester:
  • no assignment