| Lecturer | Prof. Dr. J. Grammig Dipl. Volkswirtin Franziska Peter |
| Level | first year of M.Sc. |
| Profiles | M. 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 |
| Language | English |
| Time and Place | Monday 16-18 p.m. |
| Exam | written exam |
| Credit Points | 7.5 ECTS 7 LP |
| Course Ref. No. | S412 |
Practical class
Practical exercises for material covered in lecture "Financial Econometrics".
Dipl.-Volkswirtin Franziska Peter
Date: Wednesday, 8.30 a.m. - 10.00 a.m. (PC-Lab), start: 22.10.2008
Information on the practical class: (pdf)
Gauss_Tutorial (pdf)
Since the participation for the PC-Lab is restricted, only those students on the list that fulfill the requirements (Applied Econometrics) can attend the class. If you did not attend the first lecture and are not on the list, please send an email to Franziska-julia.peter@uni-tuebingen.de which contains your name and the courses you have attended in econometrics so far. If you are on the list, but decide not to take the class, please also send an email, as there might be students on the waiting list.
| 21.10.2008 | Introduction to Gauss (Slides) (pdf) | ||
| 28.10.2008 | Data for theGauss Introduction (OLS regression) (txt) | ||
| 29.10.2008 | Introduction to Gauss: Program (prg) | ||
| 04.11.2008 | First sheet of Gauss assignments (pdf) | ||
| 11.11.2008 | Second sheet of assignment (pdf) and data sets: return data (fmt), consumption growth data (fmt) | ||
| 18.11.2008 | Third sheet of assignments (pdf) and the GMM toolbox (zip) | ||
| 26.11.2008 | Fourth sheet of assignments (pdf) and data (fmt) | ||
| 02.12.2008 | Fifth sheet of assignments (pdf) | ||
| 09.12.2008 | Sixth sheet of assignments (pdf), the T-Bill rate (fmt), and instruments needed for GMM estimation (fmt) | ||
| 16.12.2008 | Seventh sheet of assignments (pdf), data needed for Lettau/Ludvigson CAPM application: T-Bill rate (fmt), instrument (fmt), Fama/French portfolios (fmt), market return data (fmt) Data for CAPM estimation (Cochrane): Market returns (fmt) Grades for the first assignment. (pdf) Gauss Program of today's class (prg) | ||
| 13.01.2009 | Eighth sheet of assignments (pdf) Data on the T-Bill (fmt) Data on excess market returns (fmt) Consumption growth data (fmt) | ||
| 20.01.2009 | Nineth sheet of assignments (pdf) Data <link fileadmin uni_tuebingen fakultaeten wiso wiwi uploads lehrstuehle prof._grammig lehrews0809 financial_econometrics dcx_tim.fmt download>(fmt) Help procedure (prg) | ||
| 27.10.2009 | Tenth sheet of assignments (pdf) Data sets: <link fileadmin uni_tuebingen fakultaeten wiso wiwi uploads lehrstuehle prof._grammig lehrews0809 financial_econometrics bmw_tim.fmt download> (fmt) and (fmt) | ||
| 10.02.2009 | Eleventh set of assignments (pdf) Data (dat) read-in procedure (prg) | ||
| 18.02.2009 | Grades for second assignment (pdf) |
Course material
| Questions for Review (pdf) (Last update: 06.02.2009) | |
| 15.10.2008 |
Fact Sheet (pdf) Easy Pieces (pdf) English-German Dictionary (xls) Reference List (pdf) Script <link fileadmin uni_tuebingen fakultaeten wiso wiwi uploads lehrstuehle prof._grammig lehrews0809 financial_econometrics advanced_financial_econometrics_ws0809.pdf download>(pdf) |
| 20.10.2008 | Additional material on risk aversion and intertemporal substitution (pdf) EXCEL Asset Pricing Playground (xls) |