Financial Econometrics Research Seminar
6 CPevery semesterENno longer offered
Prerequisites
Recommended, as written
Knowledge: • Module Applied Mathematics and Econometrics (11962) • Module Research Methods in Business Administration and Economics (38427) • Module Statistics, Econometrics, Optimization (11977)
Contents
• High-Frequency Finance • Quantitative Finance Practice • Risk Management
Learning outcomes
The students develop an understanding of advanced research methods in financial econometrics and the statistics of financial markets. They conduct economic research projects and are able to apply modern statistical software in practice. After completing the module, the participants are able to • understand advanced quantitative topics and applications in research and practice (data, software: MATLAB, R, LaTeX) • discuss recent developments in financial econometrics • apply learned methods on own datasets • present a selected topic • write a short research or review report
Assessment
• 3 presentations (each 15 min.) and discussions with the group about a selected topic in financial econometrics (30%) • Research summary or review report, ca 10 pages (70%)
Literature (6)
- Franke, J., Härdle, W.K. and Hafner, C. (2015). Statistics of Financial Markets: an Introduction
- Hamilton, J.D. (1994). Time Series Analysis
- Härdle, W.K. and Simar, L. (2015). Applied Multivariate Statistical Analysis
- Härdle, W.K., Hautsch, N. and Mihoci, A. (2015). Local Adaptive Multiplicative ErrorModels for High-Frequency Forecasts, Journal of Applied Econometrics, 30(4) 529-550, doi: 10.1002/jae2376
- Härdle, W.K., Hautsch, N. and Mihoci, A. (2012). Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics, Journal of Empirical Finance19(4) 610-625, doi: 10.1016/j.jempfin.2012.04.002
- Tsay, R.S. (2014). Multivariate Time Series Analysis with R and Financial Applications
Remarks
The seminar will be held in English.
Source: BTU's module description · retrieved 20 Oct 2026Original