| Lecturer | Prof. Dr. J. Grammig |
| Prerequisites | Introductory and Time Series Econometrics, Mathematical Statistics, Although the class is primarily designed for the Graduiertenkolleg it is open for Diplom students who had a thorough exposure to econometrics and finance. |
| Language | English |
| Time and Place | Wednesday, 08:15 - 09:45 a.m. Übungsraum E 04, Mohlstr. 36 |
| Exam | 120 Minutes |
| Credit Points | 6 |
| Content | 1. Empirical Asset Pricing 2. Econometrics of Market Microstructure 3. Event Studies 4. Volatlity models 5.Time Series Models in Financial Econometrics |
| 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 |
Practical class (Dipl.-Vw. Oliver Wünsche)
Practical exercises for material covered in lecture "Financial Econometrics/Empirical Finance", Block, Thursday 6 - 8 p.m.
The practical exercise is held by Dipl.-Kaufmann Oliver Wünsche
Course material
| 18.10.05 | Course outline References Skript Short GAUSS tutorial |
| 20.10.05 | GAUSS program (OLS example) small example data set (EXCEL spreadsheet) |
| 27.10.05 | GAUSS Session 2 program (GMM example) 1st GAUSS assignment sheet |
| 02.11.05 | From Thursday, November 3rd on the practical exercise will take place from 6-8 p.m. |
| 03.11.05 | 2nd GAUSS assignment sheet GAUSS Session 3 program (GMM example for CBM) consumption growth data: consgr_1947Q2_1993Q4 return data: ret_dec10_1947Q2_1993Q4 |
| 14.11.05 | 3rd GAUSS assignment sheet GAUSS Session 4 program (Introducing the GMM toolbox) GMM toolbox (Unzip all files into your GAUSS working directory) GMM toolbox documentation (pdf) |
| 17.11.05 | 4th GAUSS assignment sheet GAUSS Session 5 program (linear factor models) Fama/French factors (.fmt) T-bill rate (.fmt) |
| 23.11.05 | Additional material concerning the use of instruments in empirical asset pricing More on managed portfolios and scaling factors.pdf |
| 24.11.05 | 5th GAUSS assignment sheet GAUSS Session 6 program (F-test and some plots) Collected asset pricing procedures |
| 01.12.05 | 6th GAUSS assignment sheet GAUSS Session 7 program (Managed portfolios) UPDATED on December 7!!! Collected asset pricing procedures (updated) Market return data used by Cochrane(JPE 1996) Treasury bill data data used by Cochrane(JPE 1996) Instruments used by Cochrane(JPE 1996) |
| 07.12.05 | 7th GAUSS assignment sheet GAUSS Session 8 program (Scaled factors) Collected asset pricing procedures (updated) Market return data used by Lettau/Ludvigson(JPE 2001) Treasury bill data data used by Lettau/Ludvigson(JPE 2001) Instruments used by Lettau/Ludvigson(JPE 2001) Fama/French portfolios |
| 22.12.05 | 8th GAUSS assignment sheet GAUSS Session 9 program (MRR model) Collected spread decompositon procedures <link typo3 timdata.zip>Trade data for spread deco models |
| 12.01.06 | 9th GAUSS assignment sheet GAUSS Session 10 program (HS model) Updated spread decompositon procedures |
| 19.01.06 | 10th GAUSS assignment sheet GAUSS Session 11 program (Event study) Event study data |
| 26.01.06 | 11th GAUSS assignment sheet |
| 01.02.06 | Script for Course Module four |
| 16.02.06 | 12th GAUSS assignment sheet GAUSS Session 12 program (VAR) varprocs.src Stock market data <link typo3 fourstocks.zip>Böhm |