Empirical Finance*

Friedrich-Alexander-Universität Erlangen-Nürnberg
LEVEL
Bachelor
TYPE
Course
MODES
-
LANGUAGE
-
ECTS
50
PERIOD
25/04/2022 to 19/07/2022

Course Description

This is a course deals with important empirical questions in finance. Issues covered are the empirical properties of high-frequency financial market data, the predictability of returns, estimation of the Capital Asset Pricing Model (CAPM), the modeling of time-varying volatility (ARCH and GARCH models), the concept of Value-at-Risk and basic methods for option pricing. All topics are taught in an applied way that involves the implementation of the discussed methods in R.

Educational-info

ECTS

50

Validation mode

Written Examination

Organizer

Partner

Friedrich-Alexander-Universität Erlangen-Nürnberg

Faculty

Faculty of Business, Economics, and Law

Department

Statistics and Econometrics

Contact or registration links