Financial econometrics is the subfield of
econometrics that investigates the theory of financial markets and the products that comes with it. A special
feature of financial data are the so-called "stylized facts", which do
not exist in a comparable way in any field of empirical economics. These
properties are significant in two respects: On the one hand, they have
led to the falsification or modification of popular, theoretical models
in the past. On the other hand, they have been the impetus for the
development of models that have been extremely successful in practice.
In this course we will study advanced technics of this field.
- Trainer/in: Dennis Mao