Semester:WS 15/16
Type:Lecture
Scheduled in semester:1
Semester Hours per Week / Contact Hours:28.0 L / 21.0 h
Self-directed study time:69.0 h
Type:Lecture
Scheduled in semester:1
Semester Hours per Week / Contact Hours:28.0 L / 21.0 h
Self-directed study time:69.0 h
Module coordination/Lecturers
- Florian Schaller, MSc
(Modulleitung)
- Mag. Ulrike Ebli-McKenna
(Modulleitungsassistenz)
- Ass.-Prof. Dr. Sebastian Stöckl
(Interner Dozent)
- Ass.-Prof. Dr. Sebastian Stöckl
(Co-Modulleitung)
- Dr. rer. oec. Jurij-Andrei Reichenecker, MSc UZH ETH LL.M.
(Co-Modulleitung)
Curricula
Master's degree programme in Finance (01.09.2015)Modules
Description
This course will cover:
- Multivariate time series models
- Long-run relationships in finance
- Models of time series volatility and covariances
Learning Outcomes
Students...
- understand multivariate time series models (Vector Autoregression - VAR)
- can estimate VAR-models and produce joint forecasts
- are able to conduct statistical inference in VAR-models
- understand the concept of stationarity and cointegration in multiple timeseries models
- comprehend models of equilibrium and error correction
- can estimate models of equilibrium and error correction
- are able to conduct statistical inference in cointegrated systems
- understand different models for volatility, such as the basic ARCH/GARCH model and extensions thereof
- comprehend models of covariances and correlation
- can estimate such models of volatility and covariances
- can apply all these models to practical problems in finance
Qualifications
Admission Requirements
Students should have a working understanding of single time series models of the ARIMA-type, both in a theoretical manner as well as regarding its practical implementations (estimation and statistical inference) in R or EViews (or any other appropriate statistical programme)
Literature
Brooks, C. (2014). Introductory econometrics for finance (3rd ed.). Cambridge: Cambridge University Press
Exam Modalities
Written exam (90 minutes)
Dates
Datum | Zeit | Raum |
15.09.2015 | 09:00 - 12:15 | H4 |
22.09.2015 | 09:00 - 12:15 | H4 |
29.09.2015 | 09:00 - 12:15 | H4 |
06.10.2015 | 09:00 - 12:15 | H4 |
13.10.2015 | 09:00 - 12:15 | H4 |
20.10.2015 | 13:00 - 16:30 | H4 |
27.10.2015 | 13:00 - 16:30 | H4 |
Exams
- PWW-MA_Econometrics (WS 15/16, bewertet)
- PWW-MA_Econometrics (SS 16, bewertet)