Financial Econometrics (FIM)

What it is about

You will learn econometric fundamentals and regression methods for financial science questions. In the end you can estimate, evaluate and use regression models for cross-sectional and time-series data for tests or forecasts, and implement these models with Matlab or R.

What you will be able to do

• Analysis of cross-sectional and time-series data with regression-based techniques
• Development and calibration of econometric models to test theories or for forecasting
• Assessment of properties and limits of econometric models
• Implementation and evaluation of the models in Matlab or R

What the module consists of

• VorlesungDelivery of theoretical foundations, presentations and board work with proofs
• ÜbungSolving exercises and implementation of econometric models with support from the instructor

Teaching method

• Vorlesung mit Folien und TafelbeweisenExplanation of the theory and derivation of the methods
• Übungssitzungen mit AufgabenPractical implementation, programming exercises and supervision in model implementation
• Eigenstudium (Literaturstudium)Deepening of the lecture material based on the recommended literature