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Fakultät Wirtschaftswissenschaften

Financial Econometrics

Course contents

This lecture applies modern econometric methods to current questions from the field of
finance, risk-management and commodity markets. We will both explore the theoretical
dimensions of the models used as well as apply the methods to real-life datasets.


Students learn the basic and advanced methods of financial econometrics. They apply
the methods using datasets and thereby learn both the application of econometric meth-
ods as well as the caveats associated with real-life data, data gathering and data mining.
The use of the industry specific programming language (currently Python) for economet-
ric analysis is an essential part of this course.



Module: Finance III
Course: Financial Econometrics
Stage of study: 2./3. semester
Lecturer: Prof. Dr. Peter N. Posch
Credits: 4 SWS / 7,5 Credits
Type: Lecture and exercise
Language: English
Type of examination: Exam or graded presentation based on written case study’s expose. 
When taught: Winter semester