103-015 Research in Empirical Finance
Study program: | International Finance (M.Sc.) |
Academic level and semester: | Master, 2nd semester |
ECTS credits/workload per semester: | 7 / 175 |
Contact hours per week/contact hours per semester: | 4 / 45 |
Type/Teaching method: | Interactive lecture, group work, peer teaching, presentation, intense coaching in Matlab coding; Interactive seminar, group work, peer teaching, presentation |
| Language of instruction: | English |
Frequency: | Summer semester |
Lecturer: | Prof. Dr. Anja Blatter |
Content: | The module Research in Empirical Finance provides students with advanced quantitative and methodological skills for empirical analysis in finance. Students learn to design empirical research, apply econometric methods to financial data, and critically evaluate quantitative models and results, supporting evidence-based financial decision-making. The module consists of two components: Predictive Analytics – Students study linear and multiple regression, model assumptions and hypothesis testing, time series analysis and forecasting, and the application of quantitative methods using MATLAB and other software tools. Seminar: Empirical Finance – Students analyse and discuss current empirical research in corporate finance and capital markets, covering empirical asset pricing, event studies, market microstructure, volatility models, and financial time series. Students conduct independent empirical projects, prepare term papers, and present their findings. |
Textbooks: | Anderson, D.R., Sweeney, D.J., Williams, T.A., Camm, J.D., Cochran, J.J., Statistics for Business and Economics, South-Western Cengage, 2020, Campbell J., Lo A. und MacKinlay A.C. (1997): The Econometrics of Financial Markets, Princeton University Press, Cochrane J. (2001): Asset Pricing, Princeton University Press, 2001, Hamilton, J: Time Series Analysis, Princeton University Press, 1994 |
| Recommended for: | Undergraduates, graduates |
| Prerequisites: | Background in Business/Economics, Finance, Mathematics and Statistics (intermediate level) |
Restrictions: | None |
Assessment: | Oral exam |