311118 Ökonometrie für Finanzmärkte (V) (WiSe 2002/2003)
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Dieser Vorlesung werdet an Studenten/Innen, die sich für ökonometrische Methode der Finanzmärkte interessieren. Neben dem methodischen Schwerpunkt werden auch Theorien der Finanzmärkte besprochen. Die Vorlesung gliedert sich wie folgt:
1. Predictability of asset returns
Efficient market hypothesis, random walk hypothesis, distribution of returns
2. Event-Study Analysis
Anormalis, diverse effects
3. Determinants of assets pricing
CAPM, arbitrage pricing theory
4. Term structural models
5. Derivative pricing models
Black-Scholer Formular
6. Nonlinearity in financial markets
ARCH/GARCH
Bibliography
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Campell, Lo und Mac Kinlay: The Econometrics of Financial Markets
Cuthberston: Qualitative Financial Econometrics
Teaching staff
Dates ( Calendar view )
| Frequency | Weekday | Time | Format / Place | Period | |
|---|---|---|---|---|---|
| weekly | Mi | 12-14 | V8-119 |
Subject assignments
| Degree programme/academic programme | Validity | Variant | Subdivision | Status | Semester | LP | |
|---|---|---|---|---|---|---|---|
| Betriebswirtschaftslehre / Diplom | (Enrollment until SoSe 2005) | WP05; WP10; B5 | Wahl | HS | |||
| Volkswirtschaftslehre / Diplom | (Enrollment until SoSe 2005) | V4; WP05; WP10; V5 | Wahl | HS |
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- Last update basic details/teaching staff:
- Friday, December 11, 2015
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- Type(s) / SWS (hours per week per semester)
- lecture (V) / 2+1
- Department
- Faculty of Business Administration and Economics
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- ECTS points
- 5
- (Also refer to the credit information in connection with the subject assignments)
- ID
- 1050352
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