S420 Statistics of Financial Markets
Details
Lecturer: | Prof. Dr. Martin Biewen, MSc Marian Rümmele | |
Profiles: | MSc Accounting and Finance | |
Prerequisites: | Basic knowledge of probability theory, linear algebra and econometric methods | |
Language: | English | |
Time and Place: | Downloadable videos + weekly live sessions Mon 10-12 | |
Start: | 19.04.2022 | |
Exam: | Written exam (90 Min.) | |
Credits: | 9 ECTS |
Course Outline
The lecture videos and the videos for the practical sessions will be posted on Ilias each week (already at the weekend that precedes the given week). In addition, there will be a weekly live session Mon 10-12 refering to the material of the previous week (usually a lecture week, except if the previous week was practical sessions week; see below). You will receive an invitation for the Zoom live session by email if you are registered for the course in Ilias. Please prepare your solutions to the problem sets before you watch the practical session videos or take part in the corresponding live session.
Schedule for practical sessions:
Video | Live session | |
Introduction to Stata + Problem Set 1 | 08.11.2021 | 15.11.2021 |
Problem Set 2 | 22.11.2021 | 29.11.2021 |
Problem Set 3 | 06.12.2021 | 13.12.2021 |
Problem Set 4 | 20.12.2021 | 10.01.2022 |
Problem Set 5 | 24.01.2022 | 31.01.2022 |
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.
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