Financial Time Series Analysis (2025/26)

Registration for the Lecture

Students have to sign in for this course in HISinOne. The registration in ILIAS will be carried out automatically.

Registration for the Exam

Please note that the registration for the lecture does not automatically mean that you are registered for the exam! A separate registration for the exam is mandatory!
You can find the current examination dates as well as further information on the registration for the examination as well as the deadlines for registration and deregistration of the examinations on the homepage of the examination office. 

Ilias

Access to the course in ILIAS is granted automatically after registration via HISinOne. Therefore, please ensure that you have registered in HISinOne. If necessary, admission to the ILIAS course can still be granted after a manual request to join in ILIAS.

Instructor

Jasper Rennspies

Language

English

Lectures

Tuesdays from 10:30 to 12:00, HS 3042

Exercise Sessions

Tuesdays from 16:00 to 17:30, room 206, Breisacher Tor (Rempartstr. 4)

Credits

6 ECTS

Work load

Approx. 180 hours

Requirements

Statistics, Mathematics, Econometrics

Qualification Target

This course aims at endowing students with the necessary econometric knowledge and tools for undergoing empirical research in finance.

Contents

The course covers the fundamentals of time series analysis and financial econometrics with emphasis on both theoretical foundations and empirical applications. The course aims at sharpening students’ view on the limitations of the theoretical models and their empirical applications as well as at equipping students with a profound knowledge of financial data handling and programming skills in R. The topics covered are univariate and multivariate ARMA models, GARCH models, Realized Volatility, Value-at-Risk, Expected Shortfall, MGARCH models, Realized Covariance, etc.

Main References

• Tsay (2010): Analysis of Financial Time Series, Wiley, New York. eBook
• Andersen T., Davis R., Kreiß J. and Mikosch T. (2009): Handbook of Financial Time Series, Springer.
• Enders, W. (2014): Applied Econometric Time Series, 4th ed., Wiley.
• Hamilton (1994): Time Series Analysis, Princeton University Press, Princeton.
• Hayashi (2000): Econometrics, Princeton University Press, Princeton.
• Lütkepohl, H. & Krätzig, M. (2004): Applied Time Series Econometrics, Cambridge University Press. eBook
• Lütkepohl, H. (2005): New Introduction to Multiple Time Series Analysis, Springer, Heidelberg. eBook
• Campbell, J. Y., A. W. Lo and A. C. MacKinlay (1997): The Econometrics of Financial Markets, Princeton University Press.
• Francq, C. and Zakoian J. M. (2011): GARCH models: structure, statistical inference and financial applications, Wiley.com. eBook
• Franses & van Dijk (2000): Nonlinear Time Series Models in Empirical Finance, Cambridge University Press Cambridge.
• Gourieroux C. and J. Jasiak (2001): Financial Econometrics, Princeton University Press.
• McNeil, A. J., R. Frey and P. Embrechts (2015): Quantitative Risk Management: Concepts, Techniques and Tools, Princeton University Press.

VPN access is required for the eBooks.

Exam

• Please find further details on the examination office’s homepage.
• In the exam you may use a non-programmable calculator, a hard copy of a German-English dictionary book and a one-sided A4 hand-written cheat sheet.

Grading

100% final exam

Target Group

• M.Sc. VWL (Accounting, Finance and Taxation / Business Analytics / Constitutional Economics and Competition Policy / Empirical Economics / Network Economics and IT Risk Management)
• M.Sc. BWL (Volkswirtschaftslehre / Quantitative Methoden / Wirtschaftsinformatik)
• M.Sc. in Economics (Finance / Information Systems and Network Economics / Digital Markets)