Applied Econometrics of Foreign Exchange Markets (VWLfeAEFEM-02a) (030244)- Dozent/in
- Prof. Dr. Stefan Reitz
- Angaben
- Vorlesung, 2 SWS, ECTS-Studium, ECTS-Credits: 6
Praesenzveranstaltung, für ERASMUS-/Austauschstudierende geeignet, Unterrichtssprache Englisch, Vorlesung nur erste Semesterhälfte - Übungen nur zweite Semesterhälfte.
Zeit und Ort: Mo 14:15 - 15:45, OS75/S2 - R.26; Do 8:15 - 9:45, OS75/S2 - R.210
vom 15.4.2024 bis zum 30.5.2024
1. Prüfungstermin (Klausur am Ende der Vorlesungszeit eines Semesters): 19.7.2024, 14:15 - 15:45 Uhr, Raum CAP2 - Hörsaal A
- Voraussetzungen / Organisatorisches
- Module Code: VWLfeAEFEM-02a
Module Number: 3050501
Exam Number: 41370
Exam type according to FPO: Module Exam (Modulprüfung)
Specific exam type in summer term 2024: Präsenzklausur
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).
DE: Die angegebenen Prüfungszeiten beinhalten die Ausgabe und das Einsammeln der Prüfungsunterlagen. Die tatsächliche Prüfungszeit beträgt eine Stunde.
ENG: Stated exam periods include distribution and collection of exam materials. Actual test duration is one hour.
DE: Die Informationen zur Veranstaltung und die ANMELDUNG finden Sie in OLAT:
https://lms.uni-kiel.de/url/RepositoryEntry/3286466568
ENG: Informationen regarding this lecture and registration can be found in OLAT:
https://lms.uni-kiel.de/url/RepositoryEntry/3286466568
- Inhalt
- The course introduces into empirical analysis of modern exchange rate economics. After providing an introduction to R programming important concepts of exchange rate economics such as purchasing power parity, uncovered interest parity, ARCH effects in FX returns are econometrically tested using data from various sources. In addition, a variety of nonlinear models are introduced. At the end of this practitioners' course participants will be able to derive empirical results from their own econometric programs.
1. Introduction to R programming
2. The linear regression model
3. ARCH/GARCH in FX returns
4. The Markov switching model
5. The Threshold autoregression model
6. The smooth transition regression model
- Empfohlene Literatur
- Sarno, L.; Taylor, M., The Economics of Exchange Rates, Cambridge University Press, 2002.
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 50
www: http://www.qber.uni-kiel.de/aktuelles
- Zugeordnete Lehrveranstaltungen
- UE: Übung zu "Applied Econometrics of Foreign Exchange Markets" - Gruppe 1 (030245)
-
Dozentinnen/Dozenten: Prof. Dr. Stefan Reitz, durch, Jannis Poggensee, M.Sc.
Zeit und Ort: Do 8:15 - 9:45, OS75/S2 - R.210
- UE: Übung zu "Applied Econometrics of Foreign Exchange Markets" - Gruppe 2 (030243)
-
Dozentinnen/Dozenten: Prof. Dr. Stefan Reitz, durch, Jannis Poggensee, M.Sc.
Zeit und Ort: Mo 14:15 - 15:45, LMS2 - R.Ü2/K; Do, Raum n.V.
Foundations of Asset Pricing (030110)- Dozent/in
- Prof. Dr. Stefan Reitz
- Angaben
- Vorlesung mit Übung, 2 SWS
Praesenzveranstaltung, (NUR ERSTE SEMESTERHÄLFTE)
Zeit und Ort: Di, Fr 8:15 - 9:45, OS75/S2 - R.210
vom 16.4.2024 bis zum 28.5.2024
1. Prüfungstermin (Klausur am Ende der Vorlesungszeit eines Semesters): 15.7.2024, 14:15 - 15:45 Uhr, Raum CAP2 - Hörsaal F
- Voraussetzungen / Organisatorisches
- Lecture for Economics, Quant. Economics, Quant Finance, BWL Master
Module Code: VWLqfFOAP-02a
Module Number: 3050901
Exam Number: 3050910
Exam type according to FPO: Module Exam (Modulprüfung)
Specific exam type in summer term 2024: presence 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).
- Inhalt
- Course Content
1 Introduction and Motivation
2 Stochastic Discount Factor
3 Foundations of Portfolio Theory
4 Asset Pricing Models
5 Empirical Models of Asset Pricing
6 Microstructure Theory of Asset Markets
Learning Outcomes
Students are able to describe and explain theoretical foundations of asset pricing. They understand the role of stochastic discount factors as a pricing kernel of assets and are able to derive the associated risk premiums. Furthermore, they are competent to describe foundations of portfolio theory and modern asset pricing approaches. Students are also confident applying empirical models of asset pricing and understand the role of asymmetric information, inventory effects, and market liquidity for asset pricing.
Final Exam: Written Exam Weighting 100%
Status Compulsory elective
ECTS Credits 6
Evaluation Graded
Duration 1 semester
Term (according to the study programme) 1-3
Frequency In winter term (see Long term planning of course offer)
Workload per ECTS Credit 30 hours
Total Workload 180 hours
Contact Time 60 hours
Independent Study 120 hours
- Empfohlene Literatur
- Bodie, Z., Kane, A., and Marcus, A. (2023), Investments, 13th ed., Mc Graw Hill.
Campbell, J. (2018), Financial Decisions and Markets, Princeton University Press.
Cochrane, J. (2005), Asset Pricing, Revised Edition, Princeton University Press.
Knowledge transfer
Interactive lecture and tutorial, lecture notes, literature studies, exercises, computer program codes
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 30
- Zugeordnete Lehrveranstaltungen
- UE: Übung zu "Foundations of Asset Pricing" (030111)
-
Dozent/in: Prof. Dr. Stefan Reitz
Zeit und Ort: Mo 10:15 - 11:45, OS75/S2 - R.210 (außer Mo 3.6.2024, Mo 10.6.2024, Mo 17.6.2024); Di 12:15 - 13:45, OS75/S2 - R.210; Blockveranstaltung 7.6.2024-21.6.2024 Fr 8:15 - 9:45, OS75/S2 - R.210
Seminar in Foreign Exchange Markets (VWLfeFEMSem-02a) (030030)- Dozent/in
- Prof. Dr. Stefan Reitz
- Angaben
- Seminar, 2 SWS, ECTS-Studium, ECTS-Credits: 5, Die Veranstaltung richtet sich an Master-Studierende.
Zeit und Ort: Einzeltermin am 7.6.2024 12:15 - 17:45, OS75/S2 - R.210
- Voraussetzungen / Organisatorisches
- Module Code: VWLfeFEMSem-02a
Module Number: 3059201
Exam Number: 3100210
Exam type according to FPO: Seminar contribution (Seminarbeitrag)
Specific exam type in summer term 2024:
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.
DE/ENG: Aktuelle Informationen können im Olat gefunden werden. / Current information can be found in OLAT.
https://lms.uni-kiel.de/url/RepositoryEntry/5267554461
DE: Zu diesem Seminar werden 24 Studierende zugelassen.
ENG: Only 24 students will be accepted for this seminar.
Wichtiger Hinweis: "Sie müssen sich während des ersten Klausuranmeldezeitraums in QIS zu diesem Seminar anmelden!"
Important note: "You have to register for this seminar via the QIS system in the registration period for the first examination period."
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 24
www: https://lms.uni-kiel.de/url/RepositoryEntry/5267554461
Übung zu "Applied Econometrics of Foreign Exchange Markets" - Gruppe 1 (030245)- Dozentinnen/Dozenten
- Prof. Dr. Stefan Reitz, durch, Jannis Poggensee, M.Sc.
- Angaben
- Übung, 1 SWS, Nur zweite Semesterhälfte!
Zeit und Ort: Do 8:15 - 9:45, OS75/S2 - R.210
vom 6.6.2024 bis zum 11.7.2024
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 25
- Zugeordnet zu: Applied Econometrics of Foreign Exchange Markets (VWLfeAEFEM-02a) (030244)
Übung zu "Applied Econometrics of Foreign Exchange Markets" - Gruppe 2 (030243)- Dozentinnen/Dozenten
- Prof. Dr. Stefan Reitz, durch, Jannis Poggensee, M.Sc.
- Angaben
- Übung, 1 SWS, Nur zweite Semesterhälfte!
Zeit und Ort: Mo 14:15 - 15:45, LMS2 - R.Ü2/K; Do, Raum n.V.
vom 3.6.2024 bis zum 8.7.2024
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 25
- Zugeordnet zu: Applied Econometrics of Foreign Exchange Markets (VWLfeAEFEM-02a) (030244)
Übung zu "Foundations of Asset Pricing" (ÜFoundAssPricing) (030111)- Dozent/in
- Prof. Dr. Stefan Reitz
- Angaben
- Übung, 2 SWS
Praesenzveranstaltung, *Only for Master Quantitative Finance* - (NUR ZWEITE SEMESTERHÄLFTE)
Zeit und Ort: Mo 10:15 - 11:45, OS75/S2 - R.210 (außer Mo 3.6.2024, Mo 10.6.2024, Mo 17.6.2024); Di 12:15 - 13:45, OS75/S2 - R.210; Blockveranstaltung 7.6.2024-21.6.2024 Fr 8:15 - 9:45, OS75/S2 - R.210
vom 3.6.2024 bis zum 14.7.2024
- Voraussetzungen / Organisatorisches
- We meet twice a week on Tuesdays and Fridays for the next three weeks, same time and location as the lectures.
03.06. - 21.06.24
Further information via OLAT.
- Zusätzliche Informationen
- Erwartete Teilnehmerzahl: 30
- Zugeordnet zu: Foundations of Asset Pricing (030110)
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