Institut für Finanzwirtschaft
- 1:
Mitarbeiter. - 2: Lehre.
- 2.1:
Sommersemester 2013. - 2.2: Wintersemester 2012.
- 2.3: Sommersemester 2012.
- 2.3.1:
Seminar Finanzwirtschaft. - 2.3.2: Finanzierung.
- 2.3.3: Credit Analysis.
- 2.3.4: Financial Modeling.
- 2.3.5: Applied Financial Econometrics.
- 2.3.1:
- 2.4: Abschlussarbeiten.
- 2.5: Veranstaltungsplanung Finanzwirtschaft.
- 2.6: Schwerpunktfach (Bachelor) Finanz- und Versicherungswirtschaft.
- 2.7: Schwerpunktfach (Master) Finanzwirtschaft.
- 2.8: Studien-Schwerpunkt Risikomanagement.
- 2.9: e-learning.
- 2.10: Software & Links.
- 2.1:
- 3: Forschung.
- 4: Winter Workshop: Finance, Risk and Banking.
- 5: Kontakt.
- 6: Fakultät.
Applied Financial Econometrics SS 2012
General Remarks
Downloads are password protected. The username is „student“. You can use your 
ANA (Authentifizierter Netzzugangs-Account) from kiz and the webVPN to bypass the protection.
Downloads
You find downloadable content on the website of Dr. Dirk Baur.
Characterizing the course
Students will learn key concepts in financial econometrics and empirical finance. They will be able to use empirical data to test hypotheses within an econometric framework.
The lecture contains theoretical and practical parts. You will learn how to apply your acquired knowledge with R. No prior knowledge of R is required. Around 13 university laptops are available. The final grade is based on a written exam (40%) and applied work (60%).
Course Contents
- Market Efficiency
- Predictability of Asset Returns
- Event Study
- Multifactor Pricing Models
- Intertemporal Equilibrium Models
- Fixed-Income Securities
- Nonlinearities in Financial Data
Time Table
| Date | Content |
06.06.2012 | Introduction to R Basics for the Lecture with Martin Weinberger |
| 13.06.2012 15.06.2012 | Introduction to Financial Econometrics Literature |
| 20.06.2012 22.06.2012 | The Predictability of Asset Returns Literature |
| 27.06.2012 29.06.2012 | Event Study Analysis Literature |
| 04.07.2012 06.07.2012 | CAPM and Multifactor Pricing Models Literature |
| 11.07.2012 13.07.2012 | Nonlinearities in Financial Data Literature |
| 18.07.2012 20.07.2012 | Review and student presentations |
Literature
- Campbell, Lo and MacKinlay (1997): The Econometrics of Financial Markets, Princeton University Press
- selected articles from the Journal of Finance, Review of Financial Studies and other finance journals
News
The lecture is over.
Instructors
Dr. Dirk Baur
Martin Weinberger (Teaching Assistent)
Dates and Room
Wednesday, 4 - 6 pm, E20, Heho 18
Friday, 2 - 4 pm, E20, Heho 18
Please take notice of the detailed time table to the left.
Exam
The final grad is based on the written exam (40 %) and applied work (60 %).
Module description
This lecture is open for
- Wiwi (Bsc, MSc, Dipl)
- WiMa/WiPhy (BSc, MSc, Dipl)
- Finance (MSc)
and others according to study plan.