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401-3629-00L 6 Credits
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Empirical Methods for Finance

Lecturers & Examiners: Prof. Dr. Alexander John McNeil
VVZ CR 4.6

Last Updated: 2026-02-05 14:55:06

Abstract

This course gives a concise overview of empirical methods from various areas of statistics and econometrics that are relevant for financial modelling and quantitative risk management. Topics include the essentials of statistical inference with finance in view; multivariate models for asset returns; time series analysis; models for changing volatility.

Objective

This course gives a concise overview of empirical methods from various areas of statistics and econometrics that are relevant for financial modelling and quantitative risk management.

Content

1. Essentials of Statistical Inference 2. Multivariate Models for Asset Returns 3. Modelling Time Series 4. Models for Chaging Volatility

General Information

Language
English
Frequency
Yearly recurring

Examination

Type
session examination
Mode
oral 30 minutes

Course Components

Type Title Time & Place Hours
lecture Empirical Methods for Finance
= "Quantitative Methods for Risk Management I" für MAS Finance
  • Wed 15:15-16:00 (HG D 7.2)
  • Thu 15:15-17:00 (HG D 1.2)
3 h weekly

Offered In