| Lecturer | Prof. Dr. J. Grammig |
| Aptitude | undergraduate Mathematics I and II and Statistics I and II |
| Language | English |
| Time and Place | Monday, 16:15 - 17:45 a.m. Übungsraum E 04, Mohlstr. 36 |
| Exam | 120 Minutes (oral exam possilble) |
| Credit Points | 6 |
| Content | 1. Theoretical Foundations 2. The basic pricing equation and GMM estimation 3. Estimation and testing of linear factor models 4. Scaled factors and conditioning information 5. Volatility models (ARCH modeling) |
| Literature | Campbell J., Lo A. und MacKinlay A.C. (1997): The Econometrics of Financial Markets, Princeton University Press. Cochrane J. (2001): Asset Pricing, Princeton University Press, 2001. |
Practical class
Practical exercises for material covered in lecture "Financial Econometrics"
Date: Tuesday, 10:15 - 11:45 a.m., PC-Labor, Nauklerstr., respectively E 04, Mohlstr. 36
Course material
| 11.04.05 | Slides for introductory lecture April 11 (pdf) |
| 12.04.05 | Cochrane's (2005) preface Cochrane's (2005) first chapter Twenty-five easy pieces in mathematical statistics (pdf)Exercises hypothesis testing (pdf) |
| 18.04.05 | Slides "Principles of Financial Economics" (pdf) (corrected version) |
| 19.04.05 | Additional material on risk aversion and intertemporal elasticity of substitution (pdf) |
| 21.04.05 | First set of assignments (pdf) |
| 25.04.05 | GMM estimation of basic asset pricing equation (pdf slides) Second set of assignments (pdf) Link to Mick Cliff's GMM toolbox documentation (pdf) |
| 26.04.05 | EXCEL Asset Pricing Playground (xls) |
| 02.05.05 | Numerical solutions to first assignment (pdf) GAUSS program used in today's exercise (prg) |
| 03.05.05 | Third set of assignments (pdf) |
| 13.05.05 | Fourth set of assignments (pdf) |
| 24.05.05 | The LateX Version of the fourth assignment set put on the web on Friday was not the final one, but contained typos. Please download the current version. |
| 25.05.05 | Solutions to fourth assignment set (pdf) (corrected, yesterdays version was flawed, pls use this version) |
| 27.05.05 | Solutions to third assignment set (pdf) |
| 30.05.05 | Previous exams in Financial Econometrics Klausur FE SS03; Klausur FE SS03 Nachholtermin; Klausur FE GRK Köln SS04 Note: The Cologne exam covered some more material than we cover in this class! Hence, you might not be able to answer all questions. |
| 03.06.05 | Fifth set of assignments (pdf) |
| 07.06.05 | Next week will be exercises both on Monday and Tuesday. Next Monday Oliver will introduce you to using pool objects in EVIEW (this takes place at Mohlstrasse) and on Tuesday the exercise takes place at the PC Pool at Nauklerstrasse. By then you'll have a new exercise sheet (Oliver is about to complete this later so you can spend a productive weekend). Here is a picture of "Mister GMM", Lars Peter Hansen, taken two weeks ago on an early summer evening at the Wannsee after the Bundesbank Spring Conference. LPH is the second guy from the left (jpg). |
| 10.06.05 | Sixth set of assignments (pdf) |
| 20.06.05 | Seventh set of assignments (pdf) |
| 22.06.05 | The seventh assignment sheet was updated and corrected. (pdf) |
| 24.06.05 | Additional course material Financial Econometrics: "Manual" to estimate asset pricing models by GMM using EViews manual.pdf Slides "Regression based estimation of asset pricing models" <link typo3 regression_basesd_tests_of_asset_pricing_models.pdf>(pdf)Slides from Lecture June 13, 2005 (pdf) |
| 28.06.05 | A primer on how to compute the pseudo inverse in EViews. (pdf) ENHANCED VERSION NOW AVAILABLE (corrected and with explicit EViews commands) |
| 08.07.05 | Short solution to the 5th assignment sheet (pdf) Short solution to the 6th assignment sheet (pdf) Short solution to the 7th assignment sheet (pdf) |
| 11.07.05 | Slides Time Series Aspects of FE EViews workfile S&P 500 |
