Financial Econometrics Research Seminar
6 CPevery semesterENno longer offered
Prerequisites
Recommended, as written
Knowledge: • Module 38324 Statistik II or • Module 38427 Forschungsmethoden der Betriebswirtschaftslehre
Contents
• 1. High-Frequency Finance • 2. Quantitative Finance Practice • 3. Risk Management
Learning outcomes
After completing the module, the participants should be able to: • understand advanced quantitative topics and applications in research and practice (data, software: R, Excel) • discuss recent developments in financial econometrics • apply learned methods on own datasets • present a selected topic • write a short research or review report
Assessment
• Research summary or review report, about 10 pages (70%) • 3 presentations (each 15 min.) and discussions with the group about a selected topic in financial econometrics (30%)
Literature (3)
- Härdle, W., Hautsch, N. and Mihoci, A. (2015). Local Adaptive Multiplicative Error Models for High-Frequency Forecasts, Journal of Applied Econometrics30(4): 529–550, doi: 10.1002/jae.2376
- Härdle, W., Mihoci, A. and Ting, C. (2015). Adaptive Order Flow Forecasting with Multiplicative Error Models, submitted to Quantitative Finance. 09.01.2015, manuscript ID, RQUF-2015-0005,SFB 649 DP 2014-35
- Härdle, W., Hautsch, N. and Mihoci, A. (2012). Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics, Journal of Empirical Finance 19(4) 610–625, doi: 10.1016/j.jempfin.2012.04.002
Remarks
No offer in wintersemester 19/20.
Source: BTU's module description · retrieved 14 Oct 2026Original