Topics Course Financial Econometrics

Lecture and Tutorials

taught by Dr. Yajun Xiao (University of Technology Sydney)

The rooms given above are computer pools in the basement of the University Computing Centre (Rechenzentrum), Hermann-Herder- Str. 10.

This course shall extend the knowledge of financial econometrics and model building to enable comprehension of advanced research literature and confident use of econometric techniques.

Topics include three components. First is the linear regression estimation, spurious regression, endogeneity and instrumental variable with a focus on linear asset pricing model, market efficient test and hypothesis. The second will discuss the financial time series: the maximum likelihood estimation and inference, and stationarity and cointegartion. The third topic discusses  volatility modeling. ARCH and GARCH will be learned and its application in risk management will be checked. Additionally, models for limited dependent variables will be briefly discussed as well.

Note that the pre-knowledge on linear algebra is necessary for this course. Knowing the software package Matlab which will be used in this course is desirable but it is not a prerequisite.

The course accounts for 4 ECTS points for students of M.Sc. VWL und M.Sc. Economics. For students of M.Sc. Mathematics, the course is expected to account for 3 ECTS points.

The final grade will be based on both assignments and a final exam.

Course materials will be available on the learning management system ILIAS of the university. The link below directly leads to the ILIAS site of the lecture: Financial Econometrics on ILIAS

Pre-registration

As the number of participants will be limited, a

pre-registration until November 1st, 2015, is required.

Applications for the topics course including transcript and short CV can be sent to our secretary, Mrs. Manzoni (claudia.manzoni@finance.uni-freiburg.de).

Exam

The date for the final exam is not scheduled yet. It will be announced here as soon as it is fixed by the examination office.

For details on the registration and the registration period for the first exam, please also look at the websites of the examination offices of Economics and Mathematics for further information!

The topics course is open for students of  M.Sc. Economics,  M.Sc. VWL as well as M.Sc. Mathematik.

In M.Sc. Economics, the topics course can be credited in the profile "Finance".

In M.Sc. VWL the course can be credited in Accounting, Finance, and Taxation (new examination regulations, valid from winter term 2014/15 onwards).

Students of M.Sc. Mathematik can credit this course as an elective in economics (wirtschaftswissenschaftliches Wahlpflichtmodul) within the profile "Finanzmathematik" or as an elective (Wahlmodul).