S420 Statistics of Financial Markets
Details
Lecturer: | Prof. Dr. Martin Biewen, MSc Madalina Tapalaga | |
Profiles: | MSc Accounting and Finance | |
Prerequisites: | Basic knowledge of probability theory, linear algebra and econometric methods | |
Language: | English | |
Time and Place: | Tue 08:30-10:00, Room: E09, Mohlstr. 36 Wed 12:15-13:45, Room: E09, Mohlstr. 36 | |
Start: | 18.10.2016 | |
Exam: | Written exam (60 Min.) | |
Credits: | 6 ECTS |
Course Outline
1) Univariate Return Distributions
2) Extreme Value Theory
3) Multivariate Return Distributions
4) Copulas, Value at Risk
5) ARIMA Time Series
6) Random Walks, Market Efficiency
7) Stochastic Volatility, GARCH Time Series
8) CAPM-Model, Performance Measures
9) Stochastic Dominance
10) Brownian Motion, Stochastic Calculus
11) Option Pricing, Black-Scholes-Model
Practical Sessions
Practical sessions will be on the following days:
19.10.2016 (Introduction to Stata)
02.11.2016
22.11.2016
23.11.2016
10.01.2016
11.01.2016
24.01.2017
25.01.2017
07.02.2017
08.02.2017 (Discussion of old exams)
We expect you to prepare the problem sets for each practical class.
Course Materials
Course materials will be made available through Ilias. The course password can be obtained by email to madalina.tapalaga (only @uni-tuebingen email addresses will be accepted). @uni-tuebingen.de
Literature
Trede/Schmid: Finanzmarktstatistik
Franke/Härdle/Hafner: Statistics of Financial Markets
Campbell/Lo/MacKinlay: The Econometrics of Financial Markets
McNeil/Frey/Embrechts: Quantitative Risk Management
Baum: An Introduction to Modern Econometrics Using Stata