Econometrics, Statistics and Empirical Economics
LecturerProf. Dr. J. Grammig
Levelfirst year of M.Sc.
ProfilesM. Sc. in International Economics and Finance,
M. Sc. in Accounting and Finance,
M. Sc. in General Management,
M. Sc. in International Exonomics and
American/East Asian/European/Middle
Eastern Studies
Prerequisites
LanguageEnglish
Time and PlaceWednesday, 8:15 - 9:45 a.m., Übungsraum E 04, Mohlstr. 36
Exam120 Minutes
Credit Points7,5 ECTS
Content1. Empirical Asset Pricing
2. Econometrics of Market Microstructure
3. Event Studies
4. Time Series Models in Finance
LiteratureCampbell J., Lo A. und MacKinlay A.C. (1997): The Econometrics of Financial Markets, Princeton University Press.
Cochrane J.: Asset Pricing, Princeton University Press, 2005.
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


Practical class (Dipl.-Vw. Kerstin Kehrle)

Practical exercises for material covered in lecture "Financial Econometrics"

Date: Tuesday, 18:15 - 19:45 p.m., PC-Labor, Nauklerstr. 47

Course material

16.04.07Lecture notes <link typo3 advanced_financial_econometrics_ma_07.pdf>(pdf)
References list (pdf)

Cochrane J. Asset Pricing: Cochrane's (2005) preface Cochrane's (2005) first chapter

Asset pricing playground (.xls)

17.04.07Twenty-five easy pieces in mathematical statistics (pdf)
Additional material on risk aversion and intertemporal elasticity of substitution (pdf)
Gauss Tutorial (pdf)
Gauss Assignments for Financial Econometrics (pdf)
18.04.07English-German Dictionary for introductory class (.xls)
Lecture: Fact sheet (.pdf)
Lecture: lecture notes <link typo3 advanced_financial_econometrics_ss07.pdf>(.pdf) (updated!!!)
First Exercises: Introduction to Gauss Slides (.pdf)

IMPORTANT NEWS!!!! : From now on we switch the practical exercise in the pc-lab from Wednesday 12:15-13-45 to Tuesday 18:15-19:45. The next practical exercise is on the 24th of April at 18:15 in the pc-lab. We will epeat and continue the Gauss Introduction Slides from today's exercise.

19.04.07Lecture: Fact sheet (.pdf) (updated!!)
24.04.07Exercises: Introduction to Gauss Slides (.pdf) (continued!!)
Data set (.txt)
25.04.07Exercises 24.4.: Gauss Program (.prg)
Theoretical assignments and question for review from today's lecture (.pdf)
03.05.07Theoretical assignments and question for review from today's lecture (.pdf)
Lecture Slides from Introductory Econometrics Winter Term 2006/07 (.pdf)
09.05.07Theoretical assignments and question for review from today's lecture (.pdf)
Exercises 8.5.: Gauss Program (.prg) Slides (.pdf)
15.05.07Exercises 15.5: Slides (.pdf)

Data: Consumption growth data: consgr_1947Q2_1993Q4
Return data: ret_dec10_1947Q2_1993Q4

16.05.07Theoretical assignments and question for review from today's lecture (.pdf)
Exercises 15.5.: Gauss Program (.prg)
22.05.07Exercises 22.5: Slides (.pdf)

GMM toolbox (Unzip all files into your GAUSS working directory)
GMM toolbox documentation (pdf)

23.05.07Theoretical assignments and question for review from today's lecture (.pdf)
Exercises 22.5.: Gauss Program (.prg)
05.06.07Data: Fama/French factors (.fmt)
T-bill rate (.fmt)

Exercises 5.6.: Slides (.pdf)

06.06.07Theoretical assignments and question for review from today's lecture (.pdf)
Exercises 22.5.: Gauss Program GAUSS_session5.prg

IMPORTANT NEWS!!!! :

Since Prof. Grammig and his staff is on the Econometrics Master Seminar, there will be no lecture on the 20th of June and no practical exercise on the 19th of June. The missing lecture will be caught up on the 6th and the 13th of June from 10-12 in E03. There will be no practical exercise on the on the 26th of June. Dates for additional exercises will be announced.

After registration at the ILIAS homepage you can download additional course material: Ilias link

12.06.07IMPORTANT NEWS!!!!
Unfortunately, todays practical exercise must be postponed. An alternative date will be announced.
02.07.07Theoretical assignments and question for review from the lecture on the 20th and 27th of June. (.pdf)

IMPORTANT Practical exercises on 3rd of July has to be cancelled. The PC Lab is booked by the SAS Introduction course. There will be an alternative date announced.

04.07.07Theoretical assignments and question for review from today's lecture (.pdf)

Announcement: oral exams will be in the afternoon of the 20th and 23rd of July.Announcement: practical exercises on the 10th and 17th of July from 6 p.m. st to 10 p.m.

10.07.07source file

Program

Market return data used by Cochrane(JPE 1996)
Treasury bill data data used by Cochrane(JPE 1996)
Instruments used by Cochrane(JPE 1996)

Exercises 10.7.: Slides (.pdf)

12.07.07Theoretical assignments and question for review from today's lecture (.pdf)

Exercises 10.7.: Program6(.prg) source6(.src) Program7(.prg) source7(.src)

oral exam dates: muendl_eco_timetable.pdf

17.07.07Exercises 17.7.: Slides (.pdf)

Exercises 17.7.: Program8(.prg)

Market return data used by Lettau/Ludvigson(JPE 2001)
Treasury bill data data used by Lettau/Ludvigson(JPE 2001) <link typo3 instruments.fmt>Instruments used by Lettau/Ludvigson(JPE 2001)
Fama/French portfolios

Exercises 17.7.: Program9_exante (.prg) source9_exante(.src)

Trade data for spread deco models(zip)