| Lecturer | Prof. Dr. J. Grammig |
| Prerequisites | Introductory and Time Series Econometrics, Mathematical Statistics. |
| Language | English |
| Time and Place | 10.00 a.m. 29.4.06; 13.5.06; 17.6.06; 8.7.06; 22.7.06 Room P043 |
| Exam | 120 Minutes |
| Content | 1. Empirical Asset Pricing 2. Econometrics of Market Microstructure 3. Event Studies 4. Time Series Models in Finance |
| 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 Hamilton, J: Time Series Analysis, Princeton University Press, 1994 Boehmer E., Broussard J.P. and Kallunki J.-P.: Using SAS in Financial Research, SAS Institute, 2002 |
Course material
| 24.04.06 | Lecture notes <link typo3 advanced_financial_econometrics_ma_07.pdf>(pdf) References list (pdf) |
| 26.04.06 | The class meets Saturday, April 29, 10.00 c.t., in room P043 for the first time. Further course time table will be discussed then. Data (Eviews workfile); Data description (pdf) |
| 28.04.06 | Asset Pricing Playground (.xls) Basic set of assignments for course module "Empirical Asset Pricing" (pdf) and solutions for EVIEWS tasks (pdf) |
| 02.05.06 | Data in EXCEL Format (.xls) Manual GMM estimation in EVIEWS (pdf) To revise the lecture from saturday the suggested readings are, besides what is given in the script, Cochrane (1996) and the chapter 7 in Hayashi (2000) (the reference list). The first to fourth batches of assignments in "Financial Eonometrics Basic Assignments and Solutions_Empirical_Asset_Pricing.pdf" cover the material of the first lecture. You should also work on the assignments in "Practical_Assignments_GMM_EVIEWS_1.pdf" |
| 14.05.06 | Assignments "Estimation and testing using scaled factors and scaled returns" (pdf) It would be useful, if the students participating in the course would send me their email adress to joachim.grammig@uni-tuebingen.dejoachim.grammig@uni-tuebingen.de |
| 16.05.06 | Variable description contained an error: Please download this version (pdf) |
| 18.06.06 | Manual to create pricing error plots for asset pricing models in EVIEWS (pdf) |
| 11.07.06 | Assignment Sheet "Econometrics of Market Microstructure: Structural Models" (pdf); Data |
| 24.07.06 | Here the official link to the SAS codes and data for Event Studies used in Boehmer et al's book. http://support.sas.com/publishing/bbu/57601/sample.html Here is a GAUSS code (prg.) with the same functionality as the SAS code (but here you can also account for parameter uncertainty) and the data (in GAUSS format) returns.dat |
| 01.08.06 | Data |