Semester:WS 15/16
Art:Vorlesung
Plansemester:1
Lektionen / Semester:21.0 L / 16.0 h
Selbststudium:44.0 h
Art:Vorlesung
Plansemester:1
Lektionen / Semester:21.0 L / 16.0 h
Selbststudium:44.0 h
Modulleitung/Dozierende
- Florian Schaller, MSc
(Modulleitung)
- Mag. Ulrike Ebli-McKenna
(Modulleitungsassistenz)
- Prof. Dr. Martin Kukuk
(Externer Dozent)
- Dr. rer. oec. Jurij-Andrei Reichenecker, MSc UZH ETH LL.M.
(Co-Modulleitung)
Studiengang
Masterstudium Finance (01.09.2015)Module
Beschreibung
This course will cover:
- Expansions of the simple linear regression model to multiple linear regressions
- Classical linear regression model assumptions and diagnostic tests
- Panel data
- Optimization in finance
- Simulational methods in finance
Lernergebnisse
Students...
- understand the generalisation from single to multiple regressions.
- can estimate and conduct statistical inference in multiple regression models
- understand the concept of test size and goodness of fit statistics
- comprehend quantile regressions
- understand the different statistical distributions of statistical tests
- comprehend the assumptions of linear regression models, can test for them and correct their models
- understand the structure of panel data and the relevant techniques to estimate panel data models
- can estimate fixed-effect and random-effect models
- are able to conduct statistical inference in panel data models
- understand the different optimization procedures used in finance
- can apply different optimization procedures to problems in finance
- understand the different forms and uses of simulation in finance
- apply simulational methods to practical problems in finance
Kompetenzen
Voraussetzungen (inhaltlich)
- Students should have a working understanding of simple linear regressions, both in a theoretical manner as well as regarding its practical implementations (estimation and statistical inference) in R or EViews (or any other appropriate statistical programme)
- Students should have an understanding of single and multi variable calculus, matrices, probability and probability distributions, and descriptive statistics
Literatur
Brooks, C. (2014). Introductory econometrics for finance (3rd ed.). Cambridge: Cambridge University Press.
Prüfungsmodalitäten
written exam (60min)
Termine
Datum | Zeit | Raum |
12.11.2015 | 13:00 - 16:30 | H4 |
13.11.2015 | 09:00 - 12:15 | H4 |
04.12.2015 | 09:00 - 16:30 | H1 |
Prüfungen
- PWW-MA_Advanced Mathematics and Statistics (WS 15/16, bewertet)