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Advances in Empirical Finance (Seminar)


Coordinator

Prof. Dr. Roxana Halbleib 

Language

English

Credits

6 ECTS

Application Requirements

The maximum number of participants is limited to ten.

A preliminary registration at the Chair of Statistics and Econometrics is required!

For the registration, please fill in the formulary and send it together with your transcript of records to Conny Hupfer until October 16, 2020 at the latest.

The students who can take part in the seminar will be informed by email between October 21 and October 22, 2020.

Meetings

First meeting:

  • Wednesday, November 4, 2020, 12 pm

Presentation meetings:

  • Wednesday, April 14, 2021
  • Thursday, April 15, 2021
  • Friday, April 16, 2021

Requirements

Basic requirements:

  1. Successful completion of the classes Intermediate Econometrics and Time Series Analysis
  2. Sound knowledge in a programming language (R, Python, Matlab, etc.)


Parallel enrollment in
Financial Econometrics and/or Advanced Topics in Econometrics is highly recommended.

Qualification Target

The goal of this seminar is to acquaint master students with advanced and modern econometric methods and their applications to research questions related to financial econometrics, quantitative risk management, high-dimensional and high-frequency finance as well as machine learning in empirical finance. 

Contents

Advanced topics in applied financial econometrics. The topics vary each semester. They are announced in the first meeting at the beginning of the semester.

On each topic, students (single or in a group of two) have to write an empirical research paper, in which they apply a novel and/or advanced econometric method to solve real economic problems by undergoing a complex empirical analysis on real (usually big) financial data.

The topics can be individually adapted to allow for being pursued further in a subsequent master thesis.

Literature

The list of literature is provided for each topic during the first meeting (November 4, 2020, 12 pm).

Examination Type

  • Term paper (to be submitted one week before the presentation sessions)
  • Presentation of the term paper
  • Discussion of one paper of the seminar
     
Target Group

The course can be chosen as an elective 6 ECTS course in:

  • M.Sc. BWL (Volkswirtschaftslehre/Quantitative Methoden/Wirtschaftsinformatik)
  • M.Sc. VWL (Accounting, Finance and Taxation/Business Analytics/Constitutional Economics and Competition Policy/Empirical Economics/Network Economics and IT Risk Management)
  • M.Sc. in Economics (Finance/Information Systems and Network Economics) 
  

 

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