Institut für Finanzwirtschaft
- 1:
Mitarbeiter. - 2: Lehre.
- 2.1:
Sommersemester 2013.- 2.1.1:
Credit Analysis. - 2.1.2: Game Theory.
- 2.1.3: Applied Financial Econometrics.
- 2.1.4: Behavioral Finance.
- 2.1.5: Financial Modeling.
- 2.1.6: Asset and Riskmanagement.
- 2.1.7: Seminar Asset Pricing.
- 2.1.1:
- 2.2: Wintersemester 2012.
- 2.3: Sommersemester 2012.
- 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 2013
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 |
17.04.2013 | Lecture |
| 19.04.2013 | Lecture |
| 24.04.2013 | Lecture |
| 26.04.2013 | Tutorial: R |
| 03.05.2013 | Lecture |
| 08.05.2013 | Lecture |
| 10.05.2013 | Lecture |
| 15.05.2013 | Lecture |
| 17.05.2013 | Lecture |
| 24.05.2013 | Lecture |
| 29.05.2013 | Tutorial: Exam Review |
| 07.06.2013 | Lecture |
14.06.2013 | Lecture |
| 20.06.2013 | Lecture |
| 28.06.2013 | Lecture |
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 exam takes place on Wednesday, 03.07.2013 from 2 - 4 p.m. in H11.
Instructors
Dr. Dirk Baur
Martin Weinberger (Student Teaching Assistant)
Dates and Room
Wednesday, 4 - 6 pm, E20, Heho 18
Friday, 4 - 6 pm, E20, Heho 18
Please take notice of the detailed time table to the left and on the website of Dr. Dirk Baur.
Exam
The exam takes place on Wednesday, 03.07.2013 from 2 - 4 p.m. in H11.
The exam is of closed form (you need to take the first exam to be allowed to take the retake of the 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.