Methods of Empirical Finance, Seminar (UE)


Objective

This course provides an introduction to basic methodological concepts, methods, and models commonly applied in economics and finance, their weaknesses and strengths, as well as their fields of application.

By focusing on how to choose, apply, and interpret different methods and models, the course provides the essential knowledge to conduct empirical research on your own — especially with respect to data analysis and methodological issues for your master’s thesis.

Approach

(Seminar, UE) in a hands-on approach, methodological and theoretical concepts are applied to answer research questions from the field of empirical finance using an appropriate statistical software package.

Grading

Grades in the seminar (UE) are based on two assignments to be conducted in pairs; more detailed information on the problem sets will be provided on time.

To pass the seminar with a positive grade, at least 50% of the points in each of the two assignments must be reached: assignments not handed-in in time will result in a negative seminar grade.

The following grading key will be applied:

Points Grade
< 50.0% 'deficient' (5)
50.0% − 62.5% 'sufficient' (4)
< 62.5% − 75.5% 'satisfactory' (3)
< 75.5% − 87.5% 'good' (2)
> 87.5% 'very good' (1)

Dates

The seminar will take place at the following times:

Date/Time Room
Tu 19.11.2019, 10:00-12:45 AR 4 (ZID)
Tu 26.11.2019, 10:00-12:45 AR 4 (ZID)
Tu 03.12.2019, 10:00-12:45 AR 4 (ZID)
Tu 10.12.2019, 10:00-11:45 AR 4 (ZID)
Tu 07.01.2020, 10:00-11:45 AR 4 (ZID)

The assignments have to be handed in by the following times:

Date/Time
Fr 13.12.2019, 23:59 Assignment 1
Fr 17.01.2020, 23:59 Assignment 2

Material

Slides Intro
Hypothesis Testing
(Non)parametric Statistical Tests
Regression Analysis
Time Series Analysis
'Your turn' exercises Intro
Data sp500_data.csv
russell3000_data.csv