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Financial Data Analysis

Announcements: The review of the exam takes place in room 2312 on Wednesday, 8 October 2014, from 10:30 to 11:00.
Instructor (lectures): Professor Dr. Markus Haas
Office hours: By appointment
Instructor (exercise sessions): Olena Lutsenko
Office hour: Monday, 4 August, 10:00-11:00, room 2312, KG II

Block course (lectures and exercise sessions):

  • 28.07.2014 09:00-15:00, room 1132
  • 29.07.2014, 09:00-12:00, room 1132
  • 29.07.2014, 13:00-15:00, room 201 (Breisacher Tor)
  • 30.07.2014:
    09:00-15:00, room 201 (Breisacher Tor)
    09:00-12:30, room 201 (Alte Uni)
    13:30-15:00, room 201 (Breiacher Tor)
  • 31.07.2014:
    09:00-12:30, room 220 (Alte Uni)
    13:30-15:00 room -1001b (PC Pool)
  • 01.08.2014:
    09:00-12:30, room 1132
    13:30-15:00 room 2114 (PC Pool)
  • 02.08.2014, 09:00-15:00, room -1001b (PC Pool)



„Intermediate Econometrics“ or „Einführung in die Empirische Wirtschaftsforschung”; „Time Series Analysis“ is not required but recommended.


The course is taught in English.

Credit points:



27 August 2014, 10:00-12:00 (90 minutes), HS 2121
Registrations for the exam are possible from 15 June to 10 August 2014 at http://www.verwaltung.uni-freiburg.de/qis


21 January 2015, 10:00-12:00 (90 minutes), HS 3044



Basic Time Series Concepts

GARCH Models, Part I: ARCH

GARCH Models, Part II

Multivariate GARCH Models

Variance Forecasting and Realized Volatility

GARCH: Application to Value–at–Risk

Tutorials & Data sets

Tutorial 1

Tutorial 2

Tutorial 3

Indices daily

Indices monthly

Stocks daily

Important Information: We ask you to please register for the course by sending an email to Cornelia Hupfer.


Course Description:

The course is suitable for advanced students of the Master in Economics / Volkswirtschaftslehre and diploma students of economics in their final year with a main focus on finance.

This course provides an introduction to econometric methods used in the analysis of financial data. Topics will include volatility modeling, risk management, and models of dependencies between financial variables. The course aims to facilitate students' awareness of how these methods can be applied to real data, and to provide the ability to understand and assess empirical results reported in the literature.



1.   Introduction
2.   Statistical Properties of Financial Returns
3.   Introduction to Time Series Analysis
4.   Volatility Models
4.1 Univariate GARCH Models
4.2 Multivariate GARCH Models
4.3 Realized Volatility
5.   Further Topics



Abteilung für Empirische Wirtschaftsforschung und Ökonometrie

Raum 2309

Platz der Alten Synagoge

D-79085 Freiburg

Tel.: 0761 203-2338

Fax: 0761 203-2340

Benutzerspezifische Werkzeuge