Econometrics, Statistics and Empirical Economics
LecturerProf. Dr. J. Grammig
Prof. Dr. E. Theissen
PrerequisitesIntroductory and Time Series Econometrics, Mathematical Statistics and Financial Economics
LanguageEnglish
Time and Place
ExamTo be announced

Course material

Course part: The stochastic discount factor approach (<link grammig.html>Prof. Dr. Joachim Grammig)

16.02.08Lecture 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)