Statistics, Econometrics and Quantitative Methods

S420 Statistics of Financial Markets

Details

Lecturer:   Prof. Dr. Martin Biewen, MSc Miriam Morlock
Profiles:  

MSc Accounting and Finance
MSc Economics and Finance
MSc European Economics
MSc European Management
MSc General Management
MSc International Business
MSc International Economics
MSc Management and Economics
MSc Economics

Prerequisites:   Basic knowledge of probability theory, linear algebra and econometric methods
Language:   English
Time and Place:  

Mon 12:15-13:45, Neue Aula, HS 04

Tue    8:30-  10:00, OSA-Keplerstr. 2; 036 Seminarraum 1

Wed 12:15-13:45, Neue Aula, HS 04

Start:   15.10.2018
There will be no lectures or practical classes on the following days:
17.10.2018
24.10.2018
21.11.2018
04.12.2018
Exam:   Written exam (90 Min.)
Credits:   9 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

12) Neural Networks, Support Vector Machines

13) Credit Risk Management

Practical Sessions

We expect you to prepare the problem sets for each practical class. The practical class will also include exercises in Stata as well as the discussion of old exams.

Practical sessions will be on the following days:

05.11.-07.11.2018
03.12., 05.12.2018
17.12.-19.12.2018
14.01.-16.01.2019
28.01.-30.01.2019

Course Materials

Course materials will be made available through Ilias.

Literature

Trede/Schmid: Finanzmarktstatistik

Franke/Härdle/Hafner: Statistics of Financial Markets

Härdle/Simar: Applied Multivariate Statistical Analysis

Danielsson: Financial Risk Forecasting

Campbell/Lo/MacKinlay: The Econometrics of Financial Markets

Klemelä: Nonparametric Finance

McNeil/Frey/Embrechts: Quantitative Risk Management

Efron/Hastie: Computer Age Statistical Inference

Baum: An Introduction to Modern Econometrics Using Stata