Vorlesung

Market Models in Finance

Lecturer:
  • Prof. Dr. Michael Stein, Juniorprofessor für Finanzmarktökonometrie
Term:
Winter Semester 2015/2016
Time:
Di. 12-14 Uhr
Room:
R12 R06 A93
Start:
20.10.2015
Language:
English
Moodle:
Lecture in Moodle
Linked Lectures:

Description:

The module is highly practical relevant since it teaches the fundamental methods and models used in financial institutions and in financial research. After successful finishing the module the students are able to directly apply the methods in practice.

In the lecture the relevant topics in the field of financial market and time series analysis are presented. In the exercise class the concepts are applied to real financial data using modern software packages.

Learning Targets:

Students

  • have an in-depth knowledge of the theories and models as well as the empirical literature in financial market research.
  • have the ability to independently conduct empirical research.

Outline:

  1. Introduction and fundamentals
  2. Autoregressive models, volatility modelling and GARCH models
  3. Risk modelling, dependency modelling
  4. Long run models, cointegration, error correction models
  5. Continuous time models und processes

Literature:

  • Tsay, R.S. (2010) Analysis of Financial Time Series. Wiley
  • Rachev, S.T., S. Mittnik, F.J. Fabozzi, S.M. Focardi und T. Jasic (2007). Financial Econometrics: From Basics to Advanced Modeling Techniques. Wiley.
  • Alexander, C. (2001). Market Models: A Guide to Financial Data Analysis. Wiley.
  • Campbell, J. Y., A.W. Lo und A.C. MacKinlay (1996). The Econometrics of Financial Markets. Princeton University Press.
  • Additional literature will be announced in the lecture.

Formalities:

Zum Modul erfolgt eine modulbezogene Prüfung welche sich aus 2 Hausarbeiten (jeweils 1/3 der Note, jeweils 3 Seiten) und der Präsentation und Diskussion einer der Hausarbeiten im Plenum (1/3 der Note, in der Regel 20-30 Minuten) zusammensetzt. Welche der Hausarbeiten zu präsentieren ist, wird zu Beginn des Semesters vom Dozenten festgelegt.

Materials:

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