Econometrics, Statistics and Empirical Economics

S417 Financial Econometrics

  
LecturerDr. Julie Schnaitmann
LevelMaster
Profiles

M.Sc. in Economics and Finance,

M.Sc. in Data Science in Business and Economics
M.Sc. in Economics,
M.Sc. in European Management
M.Sc. in International Business,
M.Sc. in Accounting and Finance,
M.Sc. in General Management,
M.Sc. in European Economics

M.Sc. in Management & Economics

LanguageEnglish
Time and Place

Lecture: Thursday 9-12, Hörsaal 6, Neue Aula

Practical Class: Wednesday 16-18, E03, Mohlstr. 36

Assignmentmandatory; deadline 17-08-2025
Examwritten exam 90 minutes
Credit Points9 ECTS
Start of the lecture17-04-2025
Ilias-passwordFinMetrics25

Content

This course serves as an introduction to Financial Econometircs and the analysis of financial data sets. It provides a through discussion of stylized facts in financial data sets and introduces econometric methods to estimate the conditional expected returns, volatilities and tail risks (e.g. VaR). Emphasis is placed on introducing a forecasting framework and discussing forecast evaluations of the above mentioned metrics.

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