Lecturer | Prof. Dr. J. Grammig |
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 |
Prerequisites | |
Language | English |
Time and Place | Wednesday, 8:15 - 9:45 a.m., Übungsraum E 04, Mohlstr. 36 |
Exam | 120 Minutes |
Credit Points | 7,5 ECTS |
Content | 1. Empirical Asset Pricing 2. Econometrics of Market Microstructure 3. Event Studies 4. Time Series Models in Finance |
Literature | Campbell 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
16.04.07 | Lecture 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) |
17.04.07 | Twenty-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) |
18.04.07 | English-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. |
19.04.07 | Lecture: Fact sheet (.pdf) (updated!!) |
24.04.07 | Exercises: Introduction to Gauss Slides (.pdf) (continued!!) Data set (.txt) |
25.04.07 | Exercises 24.4.: Gauss Program (.prg) Theoretical assignments and question for review from today's lecture (.pdf) |
03.05.07 | Theoretical assignments and question for review from today's lecture (.pdf) Lecture Slides from Introductory Econometrics Winter Term 2006/07 (.pdf) |
09.05.07 | Theoretical assignments and question for review from today's lecture (.pdf) Exercises 8.5.: Gauss Program (.prg) Slides (.pdf) |
15.05.07 | Exercises 15.5: Slides (.pdf) Data: Consumption growth data: consgr_1947Q2_1993Q4 |
16.05.07 | Theoretical assignments and question for review from today's lecture (.pdf) Exercises 15.5.: Gauss Program (.prg) |
22.05.07 | Exercises 22.5: Slides (.pdf) GMM toolbox (Unzip all files into your GAUSS working directory) |
23.05.07 | Theoretical assignments and question for review from today's lecture (.pdf) Exercises 22.5.: Gauss Program (.prg) |
05.06.07 | Data: Fama/French factors (.fmt) T-bill rate (.fmt) Exercises 5.6.: Slides (.pdf) |
06.06.07 | Theoretical 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 |
12.06.07 | IMPORTANT NEWS!!!! Unfortunately, todays practical exercise must be postponed. An alternative date will be announced. |
02.07.07 | Theoretical 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. |
04.07.07 | Theoretical 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. |
10.07.07 | source file Program Market return data used by Cochrane(JPE 1996) Exercises 10.7.: Slides (.pdf) |
12.07.07 | Theoretical 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 |
17.07.07 | Exercises 17.7.: Slides (.pdf) Exercises 17.7.: Program8(.prg) Market return data used by Lettau/Ludvigson(JPE 2001) Exercises 17.7.: Program9_exante (.prg) source9_exante(.src) Trade data for spread deco models(zip) |