S420 Statistics of Financial Markets
Details
Lecturer: | Prof. Dr. Martin Biewen, MSc Miriam Sturm | |
Profiles: | MSc Accounting and Finance | |
Prerequisites: | Basic knowledge of probability theory, linear algebra and econometric methods | |
Language: | English | |
Time and Place: | Downloadable videos | |
Start: | 02.11.2010 | |
Exam: | Written exam (90 Min.) | |
Credits: | 9 ECTS |
Course Outline
The lecture videos will be posted on Ilias at the beginning of each week starting 2 November 2020. In weeks with lectures, the live session for the lecture wil take place on Mondays at 5 p.m. via Zoom. You will receive an invitation for the Zoom meeting by email if you are registered for the course in Ilias.
The videos for the practical sessions will be posted in weeks in which there are no lectures according to the plan below. In these weeks, there will also be a Zoom live session to which you will receive an invitation by email from within Ilias. The practical sessions will discuss the solutions to the problem sets. Please prepare your own solutions (or try to do this) in the week before the practical session videos are posted.
Weeks with practical sessions/no lectures:
23.11.2020 | Introduction to Stata + Problem Set 1 |
07.12.2020 | Problem Set 2 |
21.12.2020 | Problem Set 3 |
18.01.2021 | Problem Set 4 |
08.02.2021 | Problem Set 5 |
Course Contents
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
Course Materials
Course materials will be made available through Ilias. Navigate to the course and register there.
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
Bofelli/Urga: Financial Econometrics Using Stata