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
Portfolio Analysis [VWLaemPoAn-02a] (Portfolio Analysis) (030103)- Dozent/in
- Prof. Dr. Markus Haas
- Angaben
- Vorlesung, 2 SWS, ECTS-Studium, ECTS-Credits: 6
für ERASMUS-/Austauschstudierende geeignet, Unterrichtssprache Englisch
Zeit und Ort: Mi 10:15 - 11:45, CAP2 - Hörsaal F
vom 17.4.2024 bis zum 10.7.2024
1. Prüfungstermin (Klausur am Ende der Vorlesungszeit eines Semesters): 25.7.2024, 14:00 - 16:00 Uhr, Raum CAP2 - Frederik-Paulsen-Hörsaal
- Voraussetzungen / Organisatorisches
- Module Code: VWLaemPoAn-02a
Module Number: 3901601
Exam Number: 43155
Exam type according to FPO: Module Exam (Modulprüfung)
Specific exam type in summer term 2024: Written Exam
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).
DE: Der angegebene Klausurzeitraum am NN und N.N. beinhaltet die Ausgabe und das Einsammeln der Prüfungsunterlagen.
Die Klausur am N.N. und N.N. wird in der Zeit von xx-xx Uhr geschrieben!
ENG: The specified examination period date on N.N. and N.N. includes the distribution and collection of the examination documents. Both examinations will be written from xx pm to xx pm.
DE/ENG: Weitere Informationen zur Veranstaltung finden Sie in OLAT/current information regarding the lecture can be found in OLAT:
https://lms.uni-kiel.de/url/RepositoryEntry/218268028
- Inhalt
- The course covers econometric aspects of modern portfolio analysis. Building on the classical approach to portfolio optimization due to Markowitz, estimation of the input parameters and resulting consequences for estimated optimal portfolio weights in situations where a large number of assets is involved is discussed in-depth. Techniques such as factor models, shrinkage estimation, and Bayesian approaches are considered that may help to reduce the estimation error. Alternative approaches to portfolio selection based on downside risk considerations, such as maximizing the expected return subject to Value-at-Risk or expected shortfall constraints, are also motivated and presented.
1. Foundations
2. The Portfolio Selection Problem
3. Mean-Variance Portfolio Theory
4. Portfolio Selection based on Down-Side Risk
5. Estimation of the Mean-Variance Model
6. Testing the Efficiency of a Given Portfolio
7. Performance Evaluation with the Sharpe Ratio
8. Further Topics
- Empfohlene Literatur
- Ang, Andrew (2014). Asset Management. Oxford University Press, Oxford.
- Brandt, M. W. (2010): Portfolio Choice Problems. In Ait-Sahalia, Y. and Hansen, L. (ed.), Handbook of Financial Econometrics. North-Holland, Amsterdam.
- Guidolin, M. and M. Pedio (2016). Essentials of Applied Portfolio Management. Bocconi University Press, Mailand.
- Joshi, M. S. and J. M. Paterson (2013). Introduction to Mathematical Portfolio Theory. Cambridge University Press, Cambridge.
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 100
www: http://www.wiso-studium.uni-kiel.de/de/master/quantitative-finance/portfolio-analysis-in-quantitative-finance
- Zugeordnete Lehrveranstaltungen
- UE: Übung zu "Portfolio Analysis" (Gruppe 1) (030102)
-
Dozentinnen/Dozenten: Prof. Dr. Markus Haas, durch, Alexander Georges Gretener, M.Sc.
Zeit und Ort: jede 2. Woche Do 16:15 - 17:45, CAP2 - Hörsaal B
www: http://www.wiso-studium.uni-kiel.de/de/master/quantitative-finance/portfolio-analysis-in-quantitative-finance
- UE: Übung zu "Portfolio Analysis" (Gruppe 2) (030101)
-
Dozentinnen/Dozenten: Prof. Dr. Markus Haas, durch, Alexander Georges Gretener, M.Sc.
Zeit und Ort: jede 2. Woche Do 16:15 - 17:45, WSP1 - R.401
www: http://www.wiso-studium.uni-kiel.de/de/master/quantitative-finance/portfolio-analysis-in-quantitative-finance
Seminar in Empirical Finance: "Empirical Finance and Financial Econometrics" (VWLfeEmFiSem-02a) (030162)- Dozent/in
- Prof. Dr. Markus Haas
- Angaben
- Seminar, 2 SWS, benoteter Schein, ECTS-Studium, ECTS-Credits: 6
für ERASMUS-/Austauschstudierende geeignet, Unterrichtssprache Englisch
Zeit und Ort: Einzeltermine am 27.6.2024, 28.6.2024 8:15 - 17:45, LS11 - R.304
- Voraussetzungen / Organisatorisches
- Module Code: VWLfeEmFiSem-02a
Module Number: 3100001
Exam Number: 3100010
Exam type according to FPO: Seminar contribution (Seminarbeitrag)
Specific exam type in summer term 2024:
Alle Informationen zum Seminar finden Sie in OLAT:
https://lms.uni-kiel.de/url/RepositoryEntry/855900169
WICHTIG: Zusätzlich ist während der Anmeldephase zum ersten Prüfungszeitraum
eine Anmeldung im QIS erforderlich!!
(03.06.2024 - 30.06.2024)
Nur dann kann Ihre Note am Ende des Semesters erfasst werden!
All participants need to register for the seminar in QIS between
June 3rd, 2024 and June 30th, 2024,
e.i. during the first exam registration
period. Non registration will not help in avoiding bad grades!
https://www.wiso.uni-kiel.de/de/studium/pruefungsamt/dateien/dateien-klausurtermine/termine-1-pz-ENG
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).
The registration for seminars of the Institute of Economics takes place in the previous semester via the Olat course "Seminar Registration MA-VWL" . Before the start of the seminar you either take part in the Seminar Preparation Course (4 hours, offered by the ZBW) or in the Module "Research and Scientific Writing" (VWLswScWr-02a). This prepares you for scientific work in economics and is therefore a prerequisite for a successful participation in the seminar.
Hausarbeit und Vortrag: Seminar in Theory of Financial Economics:
https://www.studium.uni-kiel.de/de/pruefungen/terminplaene/pruefungszeitraeume-sommersemester-2022
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 20
www: https://lms.uni-kiel.de/url/RepositoryEntry/855900169
Statistisch-Ökonometrisches Doktorandenkolloquium am QBER (DrKollStatÖ-MH) (030150)- Dozent/in
- Prof. Dr. Markus Haas
- Angaben
- Kolloquium, 2 SWS
Zeit und Ort: n.V.
- Voraussetzungen / Organisatorisches
- Das Doktorandenkolloquium wird in Form einer Blockveranstaltung angeboten.
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 10
Übung zu "Econometrics for Financial Markets" (030109)- Dozent/in
- Prof. Dr. Markus Haas
- Angaben
- Übung, 1 SWS
Zeit und Ort: Di 16:15 - 17:45, OS75/S2 - R.26
vom 30.4.2024 bis zum 9.7.2024
Bemerkung zu Zeit und Ort: Weitere Informationen siehe OLAT.
- Voraussetzungen / Organisatorisches
- Ab sofort ist eine Anmeldung zu diesem Übungstermin in OLAT möglich:
https://lms.uni-kiel.de/url/RepositoryEntry/189169689/CourseNode/91609255352429
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 25
www: https://lms.uni-kiel.de/url/RepositoryEntry/189169689/CourseNode/84990651573854
- Zugeordnet zu: Econometrics for Financial Markets (VWLaemEcoFM-02a) (030108)
Übung zu "Portfolio Analysis" (Gruppe 1) (030102)- Dozentinnen/Dozenten
- Prof. Dr. Markus Haas, durch, Alexander Georges Gretener, M.Sc.
- Angaben
- Übung, 1 SWS
Zeit und Ort: jede 2. Woche Do 16:15 - 17:45, CAP2 - Hörsaal B
vom 2.5.2024 bis zum 4.7.2024
- Voraussetzungen / Organisatorisches
- Weitere Informationen zur Veranstaltung finden Sie in OLAT:
https://lms.uni-kiel.de/url/RepositoryEntry/218268028
Die Veranstaltung findet alle zwei Wochen im Wechsel mit der Übungsgruppe 2 statt.
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 30
www: http://www.wiso-studium.uni-kiel.de/de/master/quantitative-finance/portfolio-analysis-in-quantitative-finance
- Zugeordnet zu: Portfolio Analysis [VWLaemPoAn-02a] (030103)
Übung zu "Portfolio Analysis" (Gruppe 2) (030101)- Dozentinnen/Dozenten
- Prof. Dr. Markus Haas, durch, Alexander Georges Gretener, M.Sc.
- Angaben
- Übung, 1 SWS
Zeit und Ort: jede 2. Woche Do 16:15 - 17:45, WSP1 - R.401
vom 23.5.2024 bis zum 11.7.2024
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 20
www: http://www.wiso-studium.uni-kiel.de/de/master/quantitative-finance/portfolio-analysis-in-quantitative-finance
- Zugeordnet zu: Portfolio Analysis [VWLaemPoAn-02a] (030103)
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