Lecturer | Prof. Dr. J. Grammig Prof. Dr. E. Theissen |
Prerequisites | Introductory and Time Series Econometrics, Mathematical Statistics and Financial Economics |
Language | English |
Time and Place | starting 09.00 a.m. Hörsaal P043 |
Exam | 120 Minutes Date: February 28 Time: 14:15 - 15:45 p.m. Place: VWL-PC-Pool |
Course material
Course part: Classical tests of asset pricing models (Prof. Dr. Erik Theissen)
08.02.07 | Lecture notes (pdf) |
Course part: The stochastic discount factor approach (<link grammig.html>Prof. Dr. Joachim Grammig)
07.02.07 Lecture notes (pdf) revised version
References list (pdf)
Data (Eviews workfile); Data description (pdf)
Asset Pricing Playground (.xls)
Basic set of assignments for course module "Empirical Asset Pricing" (pdf)
and solutions for EVIEWS tasks (pdf)
Data in EXCEL Format (.xls)
Manual GMM estimation in EVIEWS (pdf)
The first to fourth batches of assignments in "Financial Econometrics 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"
Assignments "Estimation and testing using scaled factors and scaled returns" (pdf)
Manual to create pricing error plots for asset pricing models in EVIEWS (pdf) 20.02.07 Exam Financial Econometrics last Summer (pdf) (contains parts that were not covered in this semester's class (microstructure, event studies)
Here is an FAQ regarding the exam: Exam is planned for next week Wednesday. Details will follow asap. The Grammig part of the exam will consist of practical part (solvable in EVIEWS about 20 % with results interpretation) and ordinary exam with questions to answer. This part is open book, as the part of Professor Theissen's. 27.02.07 Latest information regarding exam tomorrow:
Time: 14.15 to 15.45 p.m., Place: VWL-PC-Pool 28.02.07 Data for practical part of exam (wf1)
07.02.07 | Lecture notes (pdf) revised version References list (pdf) Data (Eviews workfile); Data description (pdf) Asset Pricing Playground (.xls) Basic set of assignments for course module "Empirical Asset Pricing" (pdf) and solutions for EVIEWS tasks (pdf) Data in EXCEL Format (.xls) Manual GMM estimation in EVIEWS (pdf) The first to fourth batches of assignments in "Financial Econometrics 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" Assignments "Estimation and testing using scaled factors and scaled returns" (pdf) Manual to create pricing error plots for asset pricing models in EVIEWS (pdf) |
20.02.07 | Exam Financial Econometrics last Summer (pdf) (contains parts that were not covered in this semester's class (microstructure, event studies) Here is an FAQ regarding the exam: Exam is planned for next week Wednesday. Details will follow asap. The Grammig part of the exam will consist of practical part (solvable in EVIEWS about 20 % with results interpretation) and ordinary exam with questions to answer. This part is open book, as the part of Professor Theissen's. |
27.02.07 | Latest information regarding exam tomorrow: Time: 14.15 to 15.45 p.m., Place: VWL-PC-Pool |
28.02.07 | Data for practical part of exam (wf1) |