Syllabus

Title
1802 Advanced Time Series and Financial Econometrics
Instructors
ao.Univ.Prof. Dr. Alois Geyer, Nikolaus Hautsch
Contact details
office@vgsf.ac.at
Type
PI
Weekly hours
2
Language of instruction
Englisch
Registration
09/01/15 to 09/30/15
Registration via LPIS
Notes to the course
Subject(s) Doctoral/PhD Programs
Elective Asset Pricing
Elective Corporate Finance
Elective Quantitative Methods
Dates
Day Date Time Room
Thursday 10/01/15 03:00 PM - 06:15 PM Extern
Thursday 10/08/15 03:00 PM - 06:15 PM Extern
Thursday 10/15/15 03:00 PM - 06:15 PM Extern
Thursday 10/22/15 03:00 PM - 06:15 PM Extern
Thursday 10/29/15 03:00 PM - 06:15 PM Extern
Thursday 11/05/15 03:00 PM - 06:15 PM Extern
Thursday 11/12/15 03:00 PM - 06:15 PM Extern
Thursday 11/19/15 03:00 PM - 06:15 PM Extern
Thursday 11/26/15 03:00 PM - 06:15 PM Extern
Thursday 12/03/15 03:00 PM - 06:15 PM Extern
Thursday 12/10/15 03:00 PM - 06:15 PM Extern
Thursday 12/17/15 03:00 PM - 06:15 PM Extern
Thursday 01/07/16 03:00 PM - 06:15 PM Extern
Thursday 01/14/16 03:00 PM - 06:15 PM Extern
Thursday 01/21/16 03:00 PM - 06:15 PM Extern
Thursday 01/28/16 03:00 PM - 06:15 PM Extern

On this page:

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Contents

Advanced Time Series and Financial Econometrics

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Learning outcomes

i. Providing a sound background in multiple time series analysis, state-of-the-art volatility modeling and econometric models for high-frequency data

ii. Implementing econometric theory using real financial data

iii. Practicing programing in R

iv. Evaluating and validating empirical research

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Teaching/learning method(s)

1. Vector Autoregressive Processes

1.1. Basic Concepts

1.2. Vector Autoregressive Processes

1.3. Structural Analysis

1.4. Estimation and Diagnostics

1.5. Examples

2. Cointegrated Processes

2.1. Integrated Processes

2.2. The Concept of Cointegration

2.3. Cointegrated VAR Models

2.4. Examples

3. Nonlinear Time Series Models

3.1. TAR and STAR Models

3.2. Markov Regime Switching Models

3.3. Nonparametric Estimation

4. GARCH and Stochastic Volatility Models

4.1. Univariate GARCH Models

4.2. Multivariate GARCH Models

4.3. Stochastic Volatility Models

4.4. Estimation of Stochastic Volatility Models

5. High-Frequency Based Volatility Estimation

5.1. Realized Volatility

5.2. Estimating Volatility Under the Presence of Noise

5.3. Bi-Power Variation and Jumps

5.4. Covariance Estimation

6. Models for High-Frequency Financial Data

6.1. Financial Transaction Data

6.2. Dynamic Point Process Models

6.3. Models of the Trading Process

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Assessment

Examination

1) 24h take-home exam (45%)

i. Performing research and writing research report on an empirical problem using data and programming in R (group work)

ii. Referee report on a given empirical paper (individual)

2) Short mid-term examination on theory (30 %)

3) Assessments in R: Each student has to (i) present and to (ii) validate/discuss two R assessments (group work) (25%)

To pass the course, a minimum of 50% is required.

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Readings
1 Author: Andersen, T.G., Davis, R.A., Kreiß, J.-P., and Mikosch, T.
Title: “Handbook of Financial Time Series”

Publisher: Springer
Year: 2009
Content relevant for class examination: Yes
Content relevant for diploma examination: No
Recommendation: Essential reading for all students
Type: Book
2 Author: Bauwens, L., Hafner, C., and Laurent S.
Title: “Handbook of Volatility Models and their Applications”

Publisher: Wiley
Year: 2012
Content relevant for class examination: Yes
Content relevant for diploma examination: No
Recommendation: Essential reading for all students
Type: Book
3 Author: Gouriéroux, C. and Monfort, A.
Title: "Statistics and Econometric Models"

Publisher: University Press, Vol. 1
Year: 1995
4 Author: Hayashi, F.
Title: "Econometrics"

Publisher: Princeton University Press.
Year: 2000
Content relevant for class examination: Yes
Content relevant for diploma examination: No
Recommendation: Essential reading for all students
Type: Book
5 Author: Hasbrouck, J.
Title: "Empirical Market Microstructure: The Institutions, Economics andEconometrics of Securities Trading”

Publisher: Oxford University Press.
Year: 2007
Content relevant for class examination: Yes
Content relevant for diploma examination: No
Recommendation: Essential reading for all students
Type: Book
6 Author: Hautsch, N.
Title: “Econometrics of Financial High-Frequency Data"

Publisher: Springer
Year: 2012
Content relevant for class examination: Yes
Content relevant for diploma examination: No
Recommendation: Essential reading for all students
Type: Book
7 Author: Lütkepohl, H.
Title: “New Introduction to Multiple Time Series Analysis”

Publisher: Springer
Year: 2006
Content relevant for class examination: Yes
Content relevant for diploma examination: No
Recommendation: Essential reading for all students
Type: Book
8 Author: Tsay, R. S.
Title: ''Analysis of Financial Time Series: Financial Econometrics''

Publisher: Wiley
Edition: 3rd
Year: 2010
Content relevant for class examination: Yes
Content relevant for diploma examination: No
Recommendation: Essential reading for all students
Type: Book
9 Author: Taylor, S. J.
Title: ''Asset Price Dynamics, Volatility, and Prediction''

Publisher: Princeton University
Content relevant for class examination: Yes
Content relevant for diploma examination: No
Recommendation: Essential reading for all students
Type: Book
10 Author: Zhang, L., Mykland, P. A., and Ait-Sahalia, Y.
Title: A Tale of Two Time Scales: Determining Integrated Volatility With NoisyHigh-Frequency Data

Publisher: Journal of the American Statistical Association
Edition: 100
Year: 2005
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Availability of lecturer(s)
e-mail
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Other

EXTERN @ University of Vienna

Seminar Room 6, Oskar Morgenstern Platz 1

(forthe exact schedule, see https://moodle.univie.ac.at/course/view.php?id=??)

Last edited: 2015-08-28



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