Seminar zur Ökonometrie

• Dozent: Dr. Markus Haas
• Kreditpunkte: 4
• Teilnehmerzahl: max. 15

Das Seminar wird sich auf Themen der Finanzmarktökonometrie spezialisieren. Die schriftliche Seminararbeit besteht entweder aus einer empirischen Arbeit oder einer Zusammenfassung und kritischen Auseinandersetzung mit Modellen und Methoden aus diesem Themenbereich.

Es ist eine schriftliche Anmeldung erforderlich. Anmeldungen zum Seminar sind ab 30.08.2010 persönlich im Sekretariat, Raum 2309, möglich.

Anmeldeschluss: 30. September 2010

Letzte Möglichkeit zur Abmeldung: 9. Dezember 2010
(Ab 10. Dezember werden die Korreferate vergeben.)

Das Seminar wird geblockt am 21. und 22. Januar 2011 in HS 1019 abgehalten.

Die Endnote setzt sich aus der schriftlichen Seminararbeit, dem Vortrag und der mündlichen Beteiligung am Seminar zusammen.

Das Seminar ist offen für Studierende des Diplomstudiengangs VWL, des Bachelor-Studiengangs VWL und der IMP-Masterstudiengänge.

Note: The seminar is open for English speaking students (especially IMP students) who can write their seminar paper in English and who can present in English. IMP students can use this seminar for their studies (4 CP).

Themenwahl: Bei der Themenwahl können auch Vorschläge der Studierenden berücksichtigt werden. Diesbezüglich werden interessierte TeilnehmerInnen gebeten, Herrn Dr. Haas per E-Mail zu kontaktieren: Homepage

Further information about the seminar:

General requirements:

• Term paper (Seminararbeit): Submission deadline for the term paper is December 23, 2010 (midnight). Please send the term paper by email to Markus Haas, Cornelia Hupfer, and your discussant (see below).

• Presentation of the term paper's topic (ca. 30 minutes without discussion). The seminar will be organized as a workshop taking place (presumably) in the first half of January 2011.
• Class Participation (mündliche Mitarbeit): Discussing another student's term paper (ca. 5 minutes). Term papers will be assigned to the discussants on the basis of thematic similarity, if possible.
  For this purpose, please send an email to Cornelia Hupfer concerning your language preferences, i.e.,
  (1) whether you plan to write your term paper in German or English, and
  (2) whether you can read and discuss a term paper written in German.

The primary objective of the term paper is to present the topic in a way such that a student with a comparable academic background (as the one of the term paper's author) is able to grasp the quintessence of your topic and to acquire some understanding of broader parts of it. Keep this in mind when writing your term paper. Try to read your term paper from the perspective of the discussant, and ask yourself whether the content of your paper is comprehensible and the topic is well motivated.

The discussion should point out the pros and cons of the term paper, i.e., things that have been presented and explained well and things that have been  presented and explained poorly, and whether the topic is well motivated. (And if possible, if you are very ambitious, what could have been done in a better way.) Remember that the term paper should be comprehensible for a student with similar academic background. Thus your discussion should be a feedback for the presenter whether she/he successfully achieved this goal. The discussion should be held without slides, i.e., purely verbally.

Themenvorschläge mit Einstiegsliteratur

1. Evaluation von Value-at-Risk Modellen
   • Christoffersen, Peter F., 2009, Backtesting, Encyclopedia of Quantitative Finance, R. Cont (ed). John Wiley and Sons.
   • Christoffersen, Peter F. and Denis Pelletier, 2004, Backtesting value-at-risk: a duration based approach, Journal of Financial Econometrics, 2, 84-108.
   • Candelon et al. (2010): Backtesting Value-at-Risk: A GMM Duration-Based Test, erscheint in Journal of Financial Econometrics.
   • P. Araújo Santos and M.I. Fraga Alves (2010). A new class of independence tests for interval forecasts evaluation, Computational Statistics and Data Analysis, forthcoming.
   • C. Alexander (2008): Value-at-Risk Models, John Wiley and Sons, 2008.
2. Schätzung des Value-at-Risk mit Hilfe von Methoden der Extremwerttheorie
   • Embrechts/Klüppelberg/Mikosch (1997): Modelling Extremal Events for Insurance and Finance, Springer.
   • McNeil/Frey/Embrechts (2005): Quantitative Risk Management, Princeton University Press.
   • Reiss/Thomas (2007): Statistical Analysis of Extreme Values, 3. Auflage, Birkhäuser.
   • Kuster/Mittnik/Paolella (2006): Value-at-Risk Prediction: A Comparison of Alternative Strategies, Journal of Financial Econometrics, 2006, 4(1), p. 53-89.
3. Modellierung der Abhängigkeitsstruktur von Wertpapierrenditen mit Hilfe von Copulas
   
   • McNeil/Frey/Embrechts (2005): Quantitative Risk Management, Princeton University Press.
   • Malevergne and Sornette (2006): Exreme Financial Risks, Springer.
   • C. Alexander (2008): Practical Financial Econometrics, John Wiley and Sons, 2008.
   • Patton (2004): On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation, Journal of Financial Econometrics.
4. Ordered Probit Models for Rating Transitions
   • Feng et al. (2008): The Ordered Qualitative Model for Credit Rating Transitions. Journal of Empirical Finance 15(1), pp. 111–130.
   • Nickell et al. (2000): Stability of Rating Transitions. Journal of Banking & Finance 24, pp. 203–227.
5. Estimation Techniques for Portfolio Selection
   
   • Okhrin and Schmid (2007): Comparison of different estimation techniques for portfolio selection, AStA: Advances in Statistical Analysis, 91, 109-127.
6. Schätzung diskreter Mischungsverteilungen mit Hilfe des EM-Algorithmus
   
   • G.J. McLachlan and T. Krishnan (2008): The EM algorithm and extensions, Wiley.
   • Sylvia Frühwirt-Schnatter (2008): Finite Mixture and Markov-switching Models, Springer.
   • Hamilton (1994): Time Series Analysis, Princeton University Press.
7. Bayesianische Schätzung diskreter Mischungsverteilungen
   • Sylvia Frühwirt-Schnatter (2008): Finite Mixture and Markov-switching Models, Springer.
8. Das Orthogonale GARCH Modell zur Modellierung von Kovarianzmatrizen
   
   • C. Alexander (2008): Practical Financial Econometrics, John Wiley and Sons, 2008.
9. Spezifikation und Schätzung asymmetrischer GARCH-Modelle
   • Spezifikation und Schätzung asymmetrischer GARCH-Modelle wie z.B. Threshold-GARCH oder EGARCH
10. Multivariate GARCH Modelle
    
    • Bauwens/Laurent/Rombouts: Multivariate GARCH models: a survey, Journal of Applied Econometrics, 21/1, 79-109.
    • Silvennoinen, A., Teräsvirta, T. 2009, 'Multivariate GARCH Models', in Andersen, T.G., Davis, R.A., Kreiss, J.-P., Mikosch, T. (eds), Handbook of Financial Time Series, Berlin, pp. 201-229.
    • Robert Engle (2009): Anticipating Correlations, Princeton University Press.
11. Measuring Event Risk
    
    • Nyberg and Wilhelmsson (2009): Measuring Event Risk. Journal of Financial Econometrics 7(3), pp. 265–287.
    • Maheu and McCurdy (2004): News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns. Journal of Finance 59(2), pp. 755–793.
12. Markov-switching ARMA Modelle
    
    • Hamilton (1994): Time Series Analysis, Princeton University Press.
    • Hamilton (1990): Analysis of time series subject to changes in regimes, Journal of Econometrics, 45, Issues 1-2, July-August 1990, Pages 39-70.
    • Francq and Zakoian (2001): Stationarity of multivariate Markov-switching ARMA models, Journal of Econometrics 102, 339-364.
13. Comovement von Wertpapierrenditen
    
    • Barberis et al. (2005): Comovement, Journal of Financial Economics 75, 283-317.