GEOMAR  Research  Dynamics of the Ocean Floor  Marine Geodynamics  Teaching

Teaching

The professors and senior scientists of the department of marine geodynamics teach at Christian-Albrechts-University of Kiel. Their lectures are part of the undergraduate course Physics of the Earth System and the graduate courses Master of Geophysics and Master of Marine Geosciences. More information is available at https://www.ifg.uni-kiel.de/en/studies. We offer MSc and BSc thesis supervision. Please get in touch if you would like to learn more about possible thesis projects. Either check with the most appropriate researcher or with Heidrun Kopp (hkopp(at)geomar.de) or Christian Berndt (cberndt(at)geomar.de).

 
UnivIS
Informationssystem der Universität Kiel © Config eG 
Semester: SS 2024 

Econometrics for Financial Markets (VWLaemEcoFM-02a) (VWL-AEM-EcFin / VWLaemEcoFM-02a) (030108)

Dozent/in
Prof. Dr. Markus Haas

Angaben
Vorlesung mit Übung, 2 SWS, ECTS-Studium, ECTS-Credits: 6
für ERASMUS-/Austauschstudierende geeignet, Unterrichtssprache Englisch
Zeit und Ort: Di 12:15 - 13:45, HRS7 - R.3[C3-KLEIN]
vom 16.4.2024 bis zum 9.7.2024
1. Prüfungstermin (Klausur am Ende der Vorlesungszeit eines Semesters): 26.7.2024, 14:00 - 16:00 Uhr, Raum CAP3 - Hörsaal 2
Bemerkung zu Zeit und Ort: Weitere Informationen siehe OLAT.

Voraussetzungen / Organisatorisches
Module Code: VWLaemEcoFM-02a
Module Number: 3901801
Exam Number: 43145
Exam type according to FPO: Module Exam (Modulprüfung)
Specific exam type in summer term 2024: presence exam

Further information:: Given in OLAT

The number of ECTS Credits as well as the admission to the examination for this module is determined by the information regarding this module in the FPO (Examination Regulations) of your program (possibly only in the Appendix of the German version). If this module is not explicitly listed in your FPO, please check at the beginning of the semester about admission options. Typically, admission to the examination of this module is not possible in this case. An overview for all programs which can choose modules of the Institute of Economics can also be found here: Nebenfach Volkswirtschaftslehre – Handbuch für Exportmodule (Minor in Economics - Handbook of Export Modules). You can also check in advance in QIS whether you can find this module listed there in the overview for exam registration, with the exam number mentioned in univis. Registration to the exam is only possible during the registration period. If you still have questions after reviewing these documents, please contact your student advisor (Studienfachberater).

Bitte beachten:
Die Online-Klausur am xx [1. PZ] wird in der Zeit von xxx Uhr bis xxx Uhr geschrieben!
Die Online-Klausur am xx [2. PZ] wird in der Zeit von xxx Uhr bis xxx Uhr geschrieben!

Remember:
The ONLINE-exam will be written on xxx, in the time period of xx p.m. to xx p.m.

Weitere Informationen zur Veranstaltung finden Sie in OLAT / Further information can be found in OLAT: https://lms.uni-kiel.de/url/RepositoryEntry/189169689

Inhalt
This course offers the possibility for the students to become familiar with special econometric techniques required to work with financial market data. Main topics include a thorough analysis and discussion of approaches for modeling conditional volatilities and correlations of financial assets. Applications to risk management and portfolio optimization are considered, among others.

1. Introduction
2. The stable hypothesis
3. Time series concepts
4. Univariate volatility modelling and forecasting
  • GARCH
  • stochastic volatility
  • dynamic score models
  • realized volatility
  • evaluating volatility forecasts
5. Multivariate volatility models

Empfohlene Literatur
  • Alexander, C. (2008). Practical Financial Econometrics. Wiley, Chichester.
  • Harvey, A. C. (2013). Dynamic Models for Volatility and Heavy Tails. Cambridge University Press, Cambridge.
  • Linton, O. (2019). Financial Econometrics: Models and Methods. Cambridge University Press, Cambridge.
  • Taylor, S. (2005): Asset Price Dynamics, Volatility, and Prediction. Princeton University Press, Princeton.
  • Paolella, M. S. (2007). Intermediate Probability: A Computational Approach. Wiley, Chichester.
  • Paolella, M. S. (2018). Fundamental Statistical Inference: A Computational Approach. Wiley, Chichester.

Zusätzliche Informationen
Erwartete Teilnehmerzahl: 50
www: https://lms.uni-kiel.de/url/RepositoryEntry/189169689/CourseNode/84990651573854

Zugeordnete Lehrveranstaltungen
UE: Übung zu "Econometrics for Financial Markets" (030109)
Dozent/in: Prof. Dr. Markus Haas
Zeit und Ort: Di 16:15 - 17:45, OS75/S2 - R.26; Bemerkung zu Zeit und Ort: Weitere Informationen siehe OLAT.
www: https://lms.uni-kiel.de/url/RepositoryEntry/189169689/CourseNode/84990651573854
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