Finance III – Financial Econometrics
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 methods as well as the caveats associated with real-life data, data gathering and data mining. The use of econometric software (R, matlab) is an essential part of this course.