Statistical Analysis of Financial Data
- The course is usually offered in summer semester.
- In addition to the lecture exercises are offered where mathematical problems of the lecture are discussed and solved. It is suggested that students prepare the tasks beforehand.
Times of lectures and exercises can be found on Klips2.0
Contents and Goals
Students will be introduced to financial market data and learn how to apply econometric models to financial data. In order to conduct empirical analyses independently and understand current research findings, financial time series will be discussed.
In the course of the lecture, both, univariate and multivariate financial time series will be modeled and forecasted.
Contents and Goals are:
- Financial time series and their properties
- Linear time series models
- Empirical analysis of capital market efficiency and predictability of asset returns
- Empirical analysis of the Capital Asset Pricing Model
- Empirical analysis of intertemporal asset pricing models
- Models for volatility
- Highfrequency data and microstructure of markets
In computer exercises the students will apply these methods to appropriate data sets.