Statistics, Econometrics and Quantitative Methods

S420 Statistics of Financial Markets


Lecturer:Prof. Dr. Martin Biewen, Dipl.-Volksw. Gideon Becker

MSc Accounting and Finance
MSc Economics and Finance
MSc European Economics
MSc European Management
MSc General Management
MSc International Business
MSc International Economics
MSc Managerial Economics
MSc Quantitative Economics

Prerequisites:Basic knowledge of probability theory, linear algebra and econometric methods
Time and Place:

Tue 14:15-15:45, Room: E03, Mohlstr. 36

Wed 12:15-13:45, Room: E04, Mohlstr. 36

Exam:Written exam (90 Min.)
Credits:6 ECTS

Course Outline

1) Univariate Return Distributions

2) Extreme Value Theory

3) Multivariate Return Distributions

4) Copulas, Value at Risk

5) ARIMA Time Series

6) Random Walks, Market Efficiency

7) Stochastic Volatility, GARCH Time Series

8) CAPM-Model, Performance Measures

9) Stochastic Dominance

10) Brownian Motion, Stochastic Calculus

11) Option Pricing, Black-Scholes-Model

Practical Sessions

29.10./30.10.2013 Introduction to Stata, Problem Set 1
26.11./27.11.2013 Problem Set 2
17.12./18.12.2013 Problem Set 3
14.01./15.01.2014 Problem Set 4
28.01./29.01.2014 Discussion of leftover problems

Course Materials

Course materials will be made available through Ilias.


Trede/Schmid: Finanzmarktstatistik

Franke/Härdle/Hafner: Statistics of Financial Markets

Campbell/Lo/MacKinlay: The Econometrics of Financial Markets

McNeil/Frey/Embrechts: Quantitative Risk Management

Baum: An Introduction to Modern Econometrics Using Stata