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