Financial Econometrics

Joachim Grammig
University of Tübingen
Department of Econometrics, Statisticsand EmpiricalEconomics

OverviewOverview

I I EmpiricalEmpiricalassetassetpricingpricing

I.1 I.1 TheoreticalTheoreticalBackground, Background, StochasticStochasticDiscount Discount FactorsFactorsand GMM and GMM estimationestimation
I.2 I.2 RecentRecentmodelsmodels
I.3 I.3 TestingTestingconditionalconditionalpredictionspredictionsof of assetassetpricingpricingmodelsmodels
I.4 Linear I.4 Linear factorfactormodelsmodelsand and thethebasicbasicpricingpricingequationequation
I.5 I.5 RegressionRegression--basedbasedteststestsof of assetassetpricingpricingmodelsmodels

II II EconometricsEconometricsof of financialfinancialmarketmarketmicrostructuremicrostructure
II.1 Basic II.1 Basic conceptsconcepts
II.2 II.2 StructuralStructuralmodelsmodels

III Event III Event studystudymethodologymethodology

IV Financial time IV Financial time seriesseries
IV.1 Time IV.1 Time seriesseriespropertiespropertiesof of assetassetpricespricesand time and time seriesseriesmodelsmodelsof of heteroskedasticityheteroskedasticity
IV.2 IV.2 MultivariateMultivariatetime time seriesseriesapplicationsapplicationsin in financefinance