Information

• The course is ususally offered in winter term.
• In addition to the lecture, practices are offered during which problems from the lectures are being discussed and solved.
• Please use KLIPS2.0 for finding information on dates of lectures and practices.

Contents and objectives

The students understand advanced, specialized theories and methods to analyse current questions and challenges. They collect and analyse data material for selected scientific questions using quantitative and qualitative methods. Furthermore they justify and defend (independently developed) positions or problem solutions.

Module contents include:

• Properties of financial time series
• Time series models
• Efficiency of financial markets
• Empirical analysis of the capital asset pricing model
• Empirical analysis of intertemporal asset pricing models
• Volatility models
• Market Microstructure and high-frequency data