Courses

Please check with the BSE Handbook which mandatory courses you have to choose in your PhD track. Not all courses listed here can be approved as Core Courses for all BSE PhD tracks.

Instructor:
Friday,
02:00pm to 04:00pm
at Online until further notice
Description:

The objective of this course is that students are able to (i) understand and critically evaluate seminal research in accounting and (ii) use these skills to develop an exposé for a research project that has the potential to contribute to extant literature. The course entails group discussions of seminal papers that identify fundamental questions in accounting research and that use innovative methods to address such questions.
Students can obtain 6 ECTS by (i) actively participating during the reading group sessions and (ii) writing and presenting an exposé for a research project. Enrolment into the Accounting Reading Group is possible at the beginning of each semester.
Maximum number of participants: 20
Registration: via Email to Ulf Brüggemann (u.bruggemann(at)hu-berlin.de) until October 19, 2020

Exam
Portfolio: writing and presenting an exposé

Time and Venue
Fridays, 14:00-16:00, Online until further notice
More information about access to the course platform will be uploaded after October 15th.

Credits:
6.00
Click here to get more information or to sign up
Thursday,
04:00pm to 08:00pm
at online
Description:

What is the effect of migration on economic development? In this course, we will look at the effects of international and regional migration on the diffusion of knowledge, the integration of countries into global markets through trade and FDI, as well as other diaspora externalities relevant to economic development. Synthesizing the conclusions of a number of seminal studies in the field and analyzing their empirical strategies, we will identify and critically evaluate various channels through which migration can alter the economic development of sending and receiving countries. There will be deep-dives into various papers, where students prepare referee reports and presentations on migration and development economics. The module “Econometric Methods” or equivalent knowledge is recommended. “Applied Migration and Cultural Economics” is a plus.

Given the ongoing pandemic situation, this semester the course will take place online. More information about access to the course platform will be uploaded after October 15th.

Literature:
Reading list will be provided at the beginning of the semester.

Exam:
Portfolio exam (referee reports, presentations, term paper) or written exam (90 min.). This will be decided depending on the size of the class.

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Wednesday,
10:00am to 12:00pm
at tba
Description:

Please send an email to Müge Süer sueermue@hu-berlin.de to register for this course.

Click here to get more information or to sign up
Instructor:
Description:

Given the ongoing pandemic situation, this semester the course will take place online. More information about access to the course platform will be uploaded after October 15th.

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Monday,
09:00am to 12:00pm
at Online until further notice
Description:

The evolution from analogue to digital technologies continues to dominate the attention of decision makers today. Many tools in industrial production processes have been automated or replaced by highly complex mechanisms with pre-programmed decision-making. The change to digital modes of operations increasingly determines the lives of individuals and does so in increasingly unexpected ways. The students get insight into the area of modern internet based Computational Statistics Methods. Practically relevant knowledge on methods, data forms and Gestalt will be trained. Direct computer oriented knowledge and possibilities of empirical research will be shown. We present extremely practical examples from finance, neuro-economics and network analysis.

More information about the course can be found on moodle: https://moodle.hu-berlin.de/enrol/index.php?id=96498

Literature:
www.quantlet.de (source codes)

Exam:
Seminar paper (45.000 ZoL)

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Tuesday,
10:00am to 01:00pm
at DIW, Mohrenstr. 58, Elinor Ostrom Hall or digital
Thursday,
10:00am to 02:00pm
at DIW, Mohrenstr. 58, Elinor Ostrom Hall or digital
Tuesday,
10:00am to 02:00pm
at DIW, Mohrenstr. 58, Elinor Ostrom Hall or digital
Description:

In this seminar, the participants shall prepare and present a seminar paper. The participants choose a topic that fits to the seminar title, which means that it shall deal with the ongoing Corona crisis. Recommendable are topics, which analyze economic policy decisions (e.g. various fiscal and monetary policies, but also related to the labour market and social and family policies) and their effects and effectiveness. The effectiveness should take into account a short run as well as a long run perspective. How will the crisis and the policy responses to it change the functioning of the economy and society in the long run? How has the crisis changed our understanding of the functioning of economy and society? The paper can be empirical or theoretical. While it should have a strong policy focus, it should also explicitly build on the academic literature.
Part of the seminar is an ungraded presentation and discussion.

Time and Venue
To allow an intensive dialogue among the students, the seminar is organized in block classes.
Tuesday, Nov 10th, 10:00-13:00, DIW, Mohrenstr. 58, Elinor Ostrom Hall or digital
Tuesday Nov 17th, 10:00-13:00, DIW, Mohrenstr. 58, Elinor Ostrom Hall or digital
Thursday, Feb 4th, 10:00-14:00, DIW, Mohrenstr. 58, Elinor Ostrom Hall or digital
Tuesday, Feb 9th, 10:00-14:00, DIW, Mohrenstr. 58, Elinor Ostrom Hall or digital
Restriction to participation: 20

If the course has to use a digital format, more information about access to the course platform will be uploaded after October 15th.

Registration: 12.10.2020 - 16.10.2020 via e-mail to mfratzscher@diw.de (Please indicate your program and matriculation number.)

Exam
Term paper

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Friday, 12:15pm at DIW
Description:

This course aims to introduce the student to current methods in Empirical Industrial Organization (EIO). In the first part of the course, we deal with the structural approach developed in the so called “New Empirical Industrial Organization” (NEIO) framework. After an introductory overview of the historical developments in the field of EIO, we start by looking at techniques for demand estimation in homogeneous and differentiated products markets. We then move to the simultaneous analysis of demand and supply relationships and compare various methods for estimating firms’ market power and strategic interactions based on static game-theoretic models of oligopolistic competition. Next, we focus on analyzing firms’ production decision and discuss structural models to estimate production function and productivity. In the final part of the course, we will look at applications of these techniques to evaluate public policies such as merger control and regulation. We conclude with a discussion of empirical techniques to detect collusion.

Learning Outcomes:
A range of econometric tools has been developed to analyze the behavior of firms and consumers to understand the functioning of markets. This course aims to provide students the ability to formulate, estimate and interpret demand and supply schedules as well as the degree of market power by firms. These are then used to make causal inference on market related policies. A key ingredient of the course is the application of these methods to actual data in programming sessions.
Discussions during the lecture and seminar, a presentation, and several homeworks will help improving the student's research, writing and presentation skills.

Literature:
Berry, Steve and Ariel Pakes, (2003): “Empirical Models of Firms and Markets,” Lecture notes.
Reiss, Peter C. and Frank Wolak, (2008): “Structural Econometric Modeling: Rationales and Examples from Industrial Organization,” in J.J. Heckman and E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 64 Elsevier. (http://www.stanford.edu/~preiss/makeit.pdf).
Ackerberg, Daniel, C. Lanier Benkard, Steve Berry, and Ariel Pakes, (2008): “Econometric Tools for Analyzing Market Outcomes, ” in J.J. Heckman and E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 63 Elsevier. (https://web.stanford.edu/~lanierb/research/tools8l-6-8.pdf).
Angrist J. D. and J.-S.Pischke, (2010): “The Credibility Revolution in Empirical Economics: How Better Research Design is Taking the Con out of Econometrics,” Journal of Economic Perspective, 24, 3-30. (http://econ.lse.ac.uk/staff/spischke/AP%20JEP.pdf)
Einav Liran and Jonathan Levin, (2010): “Empirical Industrial Organization: A Progress Report,” Journal of Economic Perspective, 24, 145-162. (http://www.stanford.edu/~jdlevin/Papers/IO.pdf)
Davidson Russell and James G. MacKinnon, (2004): Econometric Theory and Methods, Oxford University Press, Oxford.
Motta, Massimo (2004): Competition Policy. Theory and Practice, Cambridge University Press.

Exam:
The portfolio examination consists of the following elements, adding up to a maximum of 100 credits.
3 homeworks 60%
1 presentation 20%
1 final exam 20%

Time:
Depending on the number of students the course is either offered weekly on Wednesday/Thursday or it will be offered as a block course with 4 two-full-days blocks.

Venue:
Most likely at DIW Berlin. If taught online, more information will be sent to registered participants by the lecturer after Oct 26th.

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Monday,
12:00pm to 04:00pm
at Online until further notice
Description:

This course provides an overview on the economic analysis of labor markets. The emphasis is on applied microeconomics and empirical analysis. Topics to be covered include: labor supply and demand, human capital, education and training, changes in the wages structure and inequality, biased technological change and returns to skills, organizational change and skill demand, the closing gender gap. The introduction of topics will be on textbook level, but the focus will be on the discussion of empirical implementation strategies used in recent publications. Acquaintance of intermediate microeconomics or labor economics and econometrics is highly recommended.
More information about the course can be found on moodle: https://moodle.hu-berlin.de/course/view.php?id=99016

Given the ongoing pandemic situation, this semester the course will take place online. More information about access to the course platform will be uploaded after October 15th.

Literature:
R. Ehrenberg and R. Smith, 2003, Modern Labor Economics;
P. Cahuc and A. Zylberberg, 2004, Labor Economics;
+ selected journal articles

Exam:
Written exam (90 min)

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Tuesday,
02:00pm to 04:00pm
at Online until further notice
Wednesday,
10:00am to 12:00pm
at Online until further notice
Description:

The lecture will cover the most important aspects of the European economic development from the turn of the 19th century to the outbreak of the First World War. Topics include the Industrial Revolution, population growth and migration, international trade, the Gold Standard, as well as the economics of nationalism, colonialism and war. In the tutorial, we will discuss key texts and important concepts.

Literature:
Broadberry, S.; O’Rourke, K. (eds.) (2010). The Cambridge Economic History of Modern Europe. Cambridge University Press.

Time and venue:
Lectures: Tuesdays, 14:00-16:00, HU Berlin, Online
Tutorials: Wednesdays, 10:00-12:00, HU Berlin, Online

More information about access to the course platform will be uploaded after October 15th.

Exam:
Written exam (90 min)

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Tuesday,
02:00pm to 04:00pm
at tba
Description:

Abstract and Learning Objectives:
Various robust deviations from rational decision making have been reported such as loss aversion, probability weighting, status quo bias, overconfidence etc. Understanding those deviations leads to a more realistic modelling of the behavior of different economic actors and to an increased prediction success. In this course, participants will understand those and other important deviations from rationality as well as their theoretical explanations/modelling, e.g., prospect theory and mental accounting. Most theories have been developed implementing psychological and economic experiments. Whereas psychological experiments are mostly asking the respondents for hypothetical choices, real decisions with actual monetary payoffs are implemented in economic experiments. Half of the course will be concerned with a profound introduction to the several deviations from rationality that have been reported with real decision makers and with the theoretical treatment of those deviations. The other half of the course will deal with different types of experiments and different experimental designs as well as the matching of research question and type of empirical method to be used.

Content:
Whereas the first two days take the form of an interactive lecture and are mostly devoted to laying the basic knowledge in experimental research and behavioral decision theory, the next two days are devoted to specific applications of behavioral decision theory to selected topics in tax compliance, behavioral finance, behavioral insurance, entrepreneurial decisions, venture financing decisions, and consumer behavior. Whereas not all areas of business research are captured in the example studies, the applications are diverse as well as broad enough to have participants from different fields benefit from this course.

Selected Literature:
Friedman, D., Sunder, S. (1994): Experimental methods: A primer for economists. Cambridge University Press, Cambridge (UK) and New York (USA).
Gigerenzer, G., Todd, P. M. and the ABC Research Group (1999): Simple Heuristics That Make Us Smart. Oxford University Press, Oxford (UK).
Kahneman, D. and Tversky, A. (1979): Prospect theory: An analysis of decision under risk. Econometrica 47, 263-291.

Essential Reading Material:

Reading Material (lecture)
A study of this part of the literature as well as the literature referenced under “selected literature” is obligatory for all participants.

Camerer, C. F. and Lovallo, D. (1999): Overconfidence and excess entry: An experimental approach. American Economic Review 89, 306-318.
Campbell, D. T. and Stanley, J. C. (1963): Experimental and quasi-experimental designs for research. Houghton Mifflin Company, Boston.
Kahneman, D. and Tversky, A. (1979): Prospect theory: An analysis of decision under risk. Econometrica 47, 263-291.
Samuelson, W. and Zeckhauser, R. (1988): Status quo bias in decision making. Journal of Risk and Uncertainty 1, 7-59.
Sandri, S., Schade, C. D., Mußhoff, O., and Odening, M. (2010): Holding on for too long? - An experimental study on inertia in entrepreneurs' and non-entrepreneurs' disinvestment choices. Journal of Economic Behavior and Organization 76, 30-44.
Schade, C. D. (2005): Dynamics, experimental economics and entrepreneurship. Journal of Technology Transfer 30, 409-431.
Schade, C. D., Schröder, A., and Krause, K. (2010): Coordination after Gains and Losses: Is Prospect Theory's Value Function Predictive for Games? Journal of Mathematical Psychology 54, 426-445.
Shefrin, H. M. and Statman, M. (1985): The disposition to sell winners too early and ride losers too long: theory and evidence. Journal of Finance 40, 777-792.
Thaler, R. H. (1985): Mental accounting and consumer choice. Marketing Science 4, 199-214.

Reading Material (seminar)
Whereas it is assumed that everyone is having a deeper look into all of the following articles, each of the participants should prepare two or three of these papers intensively and be prepared to present the respective paper, discuss it, and formulate future research opportunities based on that paper. The presenters of the respective papers are fixed during the first seminar session (day 1).

Camerer, C. F. and Lovallo, D. (1999): Overconfidence and excess entry: An experimental approach. American Economic Review 89, 306-318.
Chan, C. S. R., & Park, H. D. (2015): How images and color of business plans influence venture investment screening decisions. Journal of Business Venturing 30, 732-748.
Charness, G. Gneezy, U. (2010): Portfolio Choice and Risk attitudes: An Experiment. Economic Inquiry 48, 133-146.
Franke, N., Gruber, M., Harhoff, D., Henkel, J. (2006): What you are is what you like: similarity biases in venture capitalists' evaluations of start-up teams. Journal of Business Venturing 21, 802-826.
Hallsworth, M., List, J., Metcalfe, R., Vlaev, I. (2014) (NBER Working Paper No. 20007): The Behavioralist As Tax Collector: Using Natural Field Experiments to Enhance Tax Compliance.
Koellinger, P., Minniti, M., and Schade, C. (2007): “I think I can, I think I can”: Overconfidence and entrepreneurial behavior. Journal of Economic Psychology 28, 502-527.
Schade, C., Kunreuther, H. C., and Koellinger, P. (2012): Protecting Against Low-Probability Disasters: The Role of Worry. Journal of Behavioral Decision Making 25, 534-543.
Schwartz, B., Ward, A., Monterosso, J., Lyubomirsky, S., White, K., Lehman, D. (2002): Maximizing Versus Satisficing: Happiness is a Matter of Choice. Journal of Personality and Social Psychology 83, 1178-1197.
Selten, R., Chmura, T., Pitz, T., Kube, S., Schreckenberg, M. (2007): Commuters route choice behavior. Games and Economic Behavior 58, 394-406.
Weber, M. and Zuchel, H. (2005), How Do Prior Outcomes Affect Risk Attitude? Comparing Escalation of Commitment and the House Money Effect. Decision Analysis 2, 30-43.
Weitzel, U., Urbig, D., Desai, S., Sanders, M., and Acs, Z. (2010): The good, the bad, and the talented. Journal of Economic Behavior and Organization 76, 64-81.
Zimmer, A., Gründl, H., Schade, C. D. and Glenzer, F. (2016): An incentive-compatible experiment on probabilistic insurance and implications for an insurer’s solvency level. Journal of Risk and Insurance. Published online first. http://onlinelibrary.wiley.com/doi/10.1111/jori.12148/pdf

Venue
Given the ongoing pandemic situation, this semester the course will take place online. More information about access to the course platform will be uploaded after October 15th.

Exam:
to be announced

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Description:

The objective of the “Financial Accounting Research Group” (FARG) is to introduce selected students to current research in financial accounting. Participants of the FARG will learn the necessary skills to understand conceptual underpinnings and common empirical design choices in this area of research.
The FARG is organized around the Finance-Accounting Research Seminar that provides a forum for invited guest speakers to present current research papers. Participants of the FARG are welcome to attend the accounting talks of this seminar and expected to join internal discussion meetings of our institute in preparation of these talks. There are usually three accounting talks and three preparatory discussion meetings per semester. For details on the schedules of current and past semesters, please see here: https://www.wiwi.hu-berlin.de/en/professuren/bwl/finance/seminars
Students can obtain 6 ECTS by (i) participating in the FARG for at least two semesters and (ii) writing three reviews (or two reviews and a discussion protocol) on papers that are presented by our guest speakers. Students who participated in the FARG for at least two semesters will receive a certificate that confirms their participation. Enrolment into the FARG is possible at the beginning of each semester. Details on the application procedure will be announced in early April (summer term) and early October (winter term) via the website of our institute.

The number of participants is limited to 20 students. Registration until 31 October 2020.

Given the ongoing pandemic situation, this semester the course will take place online. More information about access to the course platform will be uploaded after October 15th.

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Tuesday,
12:00pm to 02:00pm
at WebEx or DIW, Anna J. Schwartz Room (5.2.010), Møhrenstraße 58, 10117 Berlin
Description:

This course aims at enabling students to conduct research in promising areas in macroeconomics. One area aims to identify the effects of fiscal and monetary policy using micro datasets. Further "hot" areas are macro and inequality, the role of expectations in macro, and macrofinance.
In a first step, we read and discuss recent papers and some classics. The fruitful discussions and the intensive engagement with the topics should lead to the development of independent research ideas.

More information can be found in the attached syllabus.

Given the ongoing pandemic situation, this semester the course will take place online. More information about access to the course platform will be uploaded after October 15th.

Credits:
6.00
Click here to get more information or to sign up
Description:

It is possible that you might not find all of the courses on this page. Please double-check also the Fall 2019 Course Catalogues of each institution:

HU
TU (Spring 2020)
FU
University of Potsdam (Spring 2020)
ESMT
Hertie School
DIW

Click here to get more information or to sign up
Instructor:
Wednesday,
10:00am to 12:00pm
at Online until further notice
Wednesday,
12:00pm to 02:00pm
at Online until further notice
Description:

We study coordination and incentive problems within and between firms based on seminal and recent research papers from the fields of organizational and personnel economics. We will especially focus on coordination in hierarchies, teamwork, and economic perspectives on leadership.
Part of the course is an ungraded presentation.

Given the ongoing pandemic situation, this semester the course will take place online. More information about access to the course platform will be uploaded after October 15th.

Literature:
tba

Exam:
There will be a one-hour exam at the end of the course that students need to pass. In addition, students are required to either write a short term paper presenting an own research idea that is related to the topic of the course or write a referee report on a paper covered in the course. The course will be successfully completed if the exam and the term paper/referee report are each graded with 4.0 or better. The final grade for the course will be the average of the two grades.

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Tuesday,
12:00pm to 02:00pm
at Online until further notice
Wednesday,
10:00am to 12:00pm
at Online until further notice
Description:

These are two research seminars which present current research in Mathematical Statistics, Statistics and Econometrics. The Mathematical Statistics Seminar is a research seminar of the WIAS group "Stochastic Algorithms and Nonparametric Statistics" and covers a wide spectrum of topics with some focus on quantitative analysis methods.

More information about the courses can be found on the course platform:
For Mathematical Statistics Seminar: https://moodle.hu-berlin.de/enrol/index.php?id=92774
For Statistics and Econometrics: https://moodle.hu-berlin.de/enrol/index.php?id=92773

Literature:
Cizek, Härdle, Weron (2011) "Statistical Tools for Finance and Insurance" 2nd ed., Springer Verlag.
Franke, Härdle, Hafner (2011) "Statistics of Financial Markets", 3rd ed.,Springer Verlag.
Härdle, Hautsch, Overbeck (2009) "Applied Quantitative Finance. 2nd extended ed.,Springer Verlag.
Härdle, Simar (2012) "Applied Multivariate Statistical Analysis", 3rd ed., Springer Verlag.
Gentle, Härdle, Mori (2012) "Handbook of Computational Statistics, Concepts and Methods", 2nd ed., Springer Verlag.
Klugman, Panjer and Willmot (1998) "Loss Models: From Data to Decisions", Joh Wiley & Sons.

Exam:
Oral exam (30 min)

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Friday,
10:00am to 12:00pm
at Online until further notice
Description:

Focusing on a specific topic within microeconomic theory, the seminar studies recent developments in the literature of mechanism design, contract theory, industrial organization, and organization theory. Students discuss and present related research papers, pointing out their interrelations and discussing their main contributions. The seminar puts a particular emphasis on understanding the theoretical underpinning behind the papers’ results and the economic mechanisms they capture. A major goal of the seminar is to find new open questions for future research. Participants are expected to attend all the sessions, read all the discussed papers beforehand, and participate actively in discussions.

If you want to participate in the next semester's Microeconomic Theory Literature Study Group, please register at https://moodle.hu-berlin.de/course/view.php?id=98797.

Requirements for credits:
discussion of a paper (no grade)

Credits:
9.00
Click here to get more information or to sign up
Friday,
08:30am to 12:00pm
at Online until further notice
Description:

The module is designed to provide a detailed treatment on different multivariate statistical analysis techniques commonly used at present as well as the statistical framework underpinning these methods allowing to enhance your ability to discuss and apply multivariate data analysis techniques in practice. This course begins with some visual representations / graphics for multivariate data and a short recapitulation of matrix algebra. Hereafter multivariate distributions (in particuluar, the normal distribution) and their characteristics as well as the estimate and test theory in its expansion to the multivariate case are presented. Finally, different supervised and unsupervised multivariate techniques including cluster analysis, discriminant analysis, principal component analysis, factor analysis, multidimensional scaling, canonical correlation and graphical models are discussed.

More information about the course can be found on moodle: https://moodle.hu-berlin.de/enrol/index.php?id=96488

Literature:
Everitt und Hothorn (2011). An Introduction to Applied Multivariate Analysis with R. Springer
Everitt and Dunn (2001). Applied Multivariate Analysis. Wiley
Fahrmeir, Hammerle und Tutz (1996). Multivariate statistische Verfahren. De Gruyter (german only)
Hastie, Tibshirani and Friedman (2009). The Elements of Statistical Learning. Springer
Härdle and Simar (2015). Applied Multivariate Statistical Analysis. Springer
Izenman (2008). Modern Multivariate Statistical Techniques: Regression, Classification, and Manifold Learning, Springer.
James, Witten, Hastie and Tibshirani (2013). An Introduction to Statistical Learning with Applications in R, Springer.
Rencher and Christensen (2012). Methods of Multivariate Analysis, 3rd edition, Wiley.

Exam:
Written exam (90 min)

Credits:
6.00
Click here to get more information or to sign up
Thursday,
08:00am to 10:00am
at HU Berlin, Dorotheenstraße 1, Room 005
Friday,
12:00pm to 02:00pm
at HU Berlin, Dorotheenstraße 1, Room 005
Description:

The course Non- and Semiparametric Modeling gives an overview over the flexible regression methods. The course starts with an introduction into the density estimation (histogram, kernel density estimation). Nonparametric regression methods and their applications are discussed. Furthermore additive models will be introduced in the course. At the end of the course the students will be able to implement methods to solve practical problems.

The course can be accessed without a password on Moodle: https://moodle.hu-berlin.de/course/view.php?id=96537#

Literature:
Härdle, Müller, Sperlich, Werwatz (2004): Non- and Semiparametric Modelling, Springer
Fan, J. and Gijbels, I. (1996): Local Polynomial Modelling and Its Applications, Chapman and Hall, New York
Härdle, W. (1990): Applied Nonparametric Regression, Econometric Society Monographs No. 19, Cambridge University Press
Härdle, W. (1991): Smoothing Techniques, With Implementations in S, Springer, New York
Härdle, Klinke, Müller (1999): XploRe - Academic Edition, The Interactive Statistical Computing Environment, Springer, New York
Scott, D. W. (1992): Multivariate Density Estimation: Theory, Practice, and Visualization, John Wiley & Sons, New York, Chichester
Silverman, B. W. (1986): Density Estimation for Statistics and Data Analysis, Vol. 26 of Monographs on Statistics and Applied Probability, Chapman and Hall, London
Wand, M. P. and Jones, M. C. (1995): Kernel Smoothing, Chapman and Hall, London
Yatchew, A., (2003): Semiparametric Regression for Applied Econometrician, Cambridge University Press, Cambridge

Exam:
Written exam (90 min)

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Friday,
10:00am to 12:00pm
at Online until further notice
Description:

After introducing basic terms and theorems, the seminar Numerical Introductory Course will deal with numerical methods and their applications in statistics and finance. Examples of implementation will be shown. Each participant will work on one topic listed below and present his/her results during a presentation session. The presentations should include the method: theory behind it and exemplifications through simulations and/or real data examples. In addition, students will be given a assigned a programming task in R and/or Matlab for the Quantnet.

More information about the course can be found on moodle: https://moodle.hu-berlin.de/enrol/index.php?id=96500

Literature:
Gentle, J.E. (1998). Numerical Linear Algebra for Applications in Statistics. Springer Verlag, New York.
Gentle, J.E. (1998). Random Number Generation and Monte Carlo Methods. Springer Verlag, New York.
Huet, S. et al (1996). Statistical Tools for Nonlinear Regression. Springer Verlag, New York.
Lange, K. (1999). Numerical Analysis for Statisticians. Springer Verlag, New York.
Monahan, J.F. (2001). Numerical Methods of Statistics. Cambridge University Press, Cambridge.
Press, et al (1992). Numerical Recipes in C: The Art of Scientific Computing (2nd edition). Cambridge University Press, Cambridge.
Woodford, C., Phillips, C. (1997). Numerical Methods with Worked Examples. Chapman & Hall, London.
Seydel, R., (2003). Tools for Computational Finance. Springer, Berlin.
Cizkova, L., (2003). Numerical Optimization Methods in Econometrics, in: Rodriguez Poo, J. M., Computer-Aided Introduction to Econometrics; electronic version.

Exam:
Term Paper

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Description:

The Preparatory Math Course aims to equip students with the necessary math background for the first year (compulsory) economics graduate level courses. It is mainly meant to be a refresher of existing math knowledge.

More information (syllabus, schedule, course documents, access to the online course) can be found following the link below.

Click here to get more information or to sign up
Instructor:
Thursday,
02:15pm to 04:30pm
at On webex
Description:

This seminar is geared toward students who are at the beginning of their second or third year. The seminar aims to help students kick-starting their first research project respectively first research paper. The seminar offers students a forum to present and discuss their first own research project. Presentation of early stage research projects or research ideas is encouraged. Extensive feedback will be provided. Active participation in all weekly meetings is mandatory. Students who wish to obtain ECTS credits are required to write a research paper about the topic of their presentation. After grading the research paper, students will receive feedback from Prof. Nautz and Prof. Trabandt about the research paper and recommendations on how to proceed with their research agenda towards their dissertation.

The seminar will take place on Thursdays from 2.15-4.30pm via Webex. We intend to schedule a maximum of two presentations during each meeting. If you are interested to present your (preliminary) work, please consider signing up using the following doodle:

https://doodle.com/poll/hg7itsb7x4e483hh

Please sign up by Monday, October 26 at the very latest.

Literature:
will be announced during the seminar

Exam:
research paper

Credits:
9.00
Click here to get more information or to sign up
Instructor:
Monday,
10:00am to 12:00pm
at Online until further notice
Description:

Discussion of current research papers in financial intermediation.
Prerequisites: "Advanced Financial Economics" (PhD level) or equivalent knowledge
Registration in the first session.

For more information, please visit the course platform: https://moodle.hu-berlin.de/course/view.php?id=98855

Literature:
Academic papers

Exam:
Term paper (30,000 characters)

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Tuesday,
10:00am to 02:00pm
at Online until further notice
Description:

Social or other-regarding preferences refer to preferences of economic agents regarding other people’s outcomes. These preferences can be both benevolent and malevolent, but crucially they differ from selfish preferences without any regard for others. The course provides an introduction to key evidence about the relevance of social preferences in economic interaction as well as the most important theoretical approaches that aim at explaining these results.
Most of the discussed evidence will be from controlled laboratory experiments. Critique regarding the relevance of (laboratory) experiments on social preferences will be discussed as well. Apart from methodological critique, experimental studies that critically reflect on prominent papers and research agendas will be presented in order to highlight the relevance of apparent subtleties in experimental design.

Time and Location:
Lecture: Tuesdays, 10:00-12:00, Online
Seminar: Tuesdays, 12:00-14:00, Online

Information for the course "Social Preferences - Theories and Evidence is provided on moodle, https://moodle.hu-berlin.de/course/view.php?id=99106

Specific requirements:
Some knowledge of game theory is helpful, but fairly basic experience is mostly sufficient. Knowledge of statistical analysis will make it easier to follow the data analysis in the experimental papers and thus enable a more critical view, but is not strictly necessary.

Literature:
The course literature consists of a list of journal articles. Some key articles are below, further literature will be announced during the course.
Andreoni, James (1995). Cooperation in Public Goods Experiments: Kindness or Confusion? American Economic Review 85(4),
891-904.
Andreoni, James and John H. Miller (2002). Giving According to GARP: An Experimental Test of the Consistency of Preferences for Altruism. Econometrica 70(2), 737-753.
Bénabou, Roland and Jean Tirole (2006). Incentives and prosocial behavior. American Economic Review 96(5). 1652-1678.
Blanco, Mariana, Dirk Engelmann, and Hans-Theo Normann (2011). A Within-Subject Analysis of Other-Regarding Preferences. Games and Economic Behavior 72(2), 321-338.
Bolton, Gary E. and Axel Ockenfels (2000). ERC: A Theory of Equity, Reciprocity and Competition. American Economic Review 90(1), 166-193.
Dufwenberg, Martin, Paul Heidhues, Georg Kirchsteiger, Frank Riedel, and Joel Sobel (2011). Other-Regarding Preferences in General Equilibrium. Review of Economic Studies 78(2), 613-639.
Engelmann, Dirk and Martin Strobel (2004). Inequality Aversion, Effciency, and Maximin Preferences in Simple Distribution Experiments. American Economic Review 94(4), 857-869.
Fehr, Ernst and Simon Gächter (2000). Cooperation and Punishment in Public Goods Experiments. American Economic Review 90(4), 980-994.
Fehr, Ernst and Klaus M. Schmidt (1999). A Theory of Fairness, Competition and Cooperation. Quarterly Journal of Economics 114(3), 817-868.
Levitt, Steven D. and List, John A. (2007). What Do Laboratory Experiments Measuring Social Preferences Reveal About the Real World? Journal of Economic Perspectives 21(2), 153-174.
Nikiforakis, Nikos, 2008. Punishment and Counter-punishment in Public Good Games: Can we Really Govern Ourselves? Journal of Public Economics 92(1-2), 91-112.
Early relevant surveys are provided in:
• Camerer, Colin F. (2003). Behavioral Game Theory, Princeton University Press. Chapter 2
• Ledyard, John (1995): Public Goods: A Survey of Experiment Research. In: John H. Kagel and Alvin E. Roth, Handbook of Experimental Economics, Princeton University Press.

Exam:
Term paper

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Tuesday,
10:00am to 12:00pm
at Online until further notice
Friday,
08:30am to 10:00am
at Online until further notice
Description:

The course consists of a finance and insurance part. Each part contains lectures with high focus on practical applications. The finance part starts with an introduction to stable distributions, which are the standard model for heavy tailed phenomena, e.g. stock returns. A risk measure called expected shortfall for several asymetric, fat-tailed distributions is presented next. The course proceeds with modelling heteroscedasticity in nonstationary financial time series. A large part of the course employs Heston model to tackling the implied volatility smile in FX markets. Then, network structure analysis based on distance matrix is discussed and illustrated on the example of financial market structure and its dynamics.
The insurance part of the course starts with a lecture on loss distributions. The basic models for claim severities are introduced and their statistical properties are thoroughly explained. The next topics are related to one of the most important aspects of the insurance business - premium calculation. Finally, we review approaches to modelling equity-linked retirement plans. Different strategies as stop loss strategy and cost structures are presented and evaluated.

More information about the course can be found on moodle:
Statistical Tools in Finance and Insurance: https://moodle.hu-berlin.de/enrol/index.php?id=96497
Mathematical Foundations for Finance and Insurance: https://moodle.hu-berlin.de/course/view.php?id=96496

Literature:
Cizek, Härdle, Weron (2011) "Statistical Tools for Finance and Insurance" 2nd ed., Springer Verlag.
Franke, Härdle, Hafner (2011) "Statistics of Financial Markets", 3rd ed.,Springer Verlag.
Härdle, Hautsch, Overbeck (2009) "Applied Quantitative Finance. 2nd extended ed.,Springer Verlag.
Härdle, Simar (2012) "Applied Multivariate Statistical Analysis", 3rd ed., Springer Verlag.
Gentle, Härdle, Mori (2012) "Handbook of Computational Statistics, Concepts and Methods", 2nd ed., Springer Verlag.
Klugman, Panjer and Willmot (1998) "Loss Models: From Data to Decisions", Joh Wiley & Sons.

Exam:
Oral exam

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Monday,
04:00pm to 08:00pm
at Online until further notice
Description:

Learn from Nobel prize winners, such as Engle (ARCH Models, 2003), Scholes, Merton, (Derivative Valuation, 1997) or Modigliani (Financial Markets Analysis, 1985) to understand
statistics of financial markets! Students learn the basic concepts of option pricing and its probabilistic foundations and stochastic processes in discrete time. Topics: Financial derivative, Option management, Basic concepts of probability theory, Stochastic processes in discrete time, Stochastic Integrals and differential equations, Black-Scholes option pricing model, Binomial model for European options and American options, Exotic options and interest rate derivatives. As a part of the course, an obligatory trip to the ECB European Central Bank will be organized. The class is addressed to students with solid knowledge of multivariate statistics and students with good skills in statistical software. This course is a starting point for students interested in quantitative finance and students with ambitions to work in the derivative, investment and riskcontrol departments. Former students of this course work for example at Deutsche Bank, Sal. Oppenheim, Citigroup, European Central Bank, BAFin, KPMG, Nadler Company and many international universities.

More information about the course can be found on moodle: https://moodle.hu-berlin.de/user/index.php?id=96499

Literature:
Franke, J., Härdle, W., and Hafner, C. (2019) Statistics of Financial Markets: an Introduction, 5th ed., Springer Verlag, Heidelberg.
Härdle, W., Chen, C.Y.H. and Overbeck, L. (2017) Applied Quantitative Finance, 3rd ed., Springer Verlag, Heidelberg. ISBN 978-3-662-54485-3 (372 p)
Härdle, W., Simar, L. (2015) Applied Multivariate Statistical Analysis, 4th ed., Springer Verlag, Berlin Heidelberg. ISBN 978-3-662-45170-0 (580 p)
Hull (2005) Options, Futures, and Other Derivatives, 6th ed., Prentice Hall. ISBN 0-13-149908-4 (816 p)
Cizek, P., Härdle, W., Weron, R. (2011) Statistical Tools for Finance and Insurance, 2nd ed., Springer Verlag, Heidelberg. ISBN: 978-3-642-18061-3 (420 p)

Exam:
Oral exam

Credits:
6.00
Click here to get more information or to sign up
Monday,
09:00am to 12:30pm
at DIW Berlin, Mohrenstr. 58, Elinor Ostrom Hall, 1.2.019, (possibly partly in Schwartz Room)
Description:
  1. Vector Autoregressive Models
  2. Vector Error Correction Models
  3. Structural VAR Tools
  4. Bayesian VAR Analysis
  5. Identification by Short-Run Restrictions
  6. Identfication by Long-Run Restrictions
  7. Inference for Impulse Responses
  8. Sign Restrictions
  9. Identfication by Heteroskedasticity or Non-Gaussianity
  10. Identification Based on External Instruments
  11. Structural VAR Analysis in a Data-Rich Environment
  12. Nonfundamental Shocks

Literature:

Lutz Kilian and Helmut Lutkepohl (2017), Structural Vector Autoregressive Analysis, Cambridge University Press.
Helmut Lutkepohl (2005), New Introduction to Multiple Time Series Analysis, Springer-Verlag.

Block course during the period 19 - 30 October 2020! Please register via email to Juliane Metzner (JMetzner@diw.de)!

Credits:
6.00
Click here to get more information or to sign up
Instructor:
Description:

The Economics of Climate Policy is an introductory course into the economics of climate change mitigation and adaptation policies. Essentially, the mitigation of climate change is a global public good, posing policy challenges both at the national level (within countries) as well as at the international level (between countries). In the course, concepts such as market failures, externalities, and Pigouvian taxes are developed and applied to climate change. Game theory will be introduced to understand the challenges in international climate negotiations. The history and status quo of international negotiations will be reviewed, as well as implementation policies such as the EU ETS and Germany’s Energiewende. Since these concepts can be applied to many public policy problems, the course is also an introduction into allocation theory, environmental economics, public finance and game theory.

Given the ongoing pandemic situation, this semester the course will take place online. More information about access to the course platform will be uploaded after October 15th.

Topics:
Starting from the perspective of decentralized decision making and coordination, we provide a systematic overview of the relevant issues in climate change policy. This includes, inter alia:

  • Climate change as a market failure: externalities and public goods, internalization options such as Pigouvian tax and cap and trade systems (prices vs. quantities), policy instrument design
  • Game theory, behavioral economics and Elinor Ostrom’s approaches to governing commons
  • The international politics of climate change: the history and status quo of UNFCCC climate negotiations from Rio to Kyoto and Paris, incentives for countries to reduce emissions: co-benefits, double dividend, and climate agreements
  • Climate policies today: The European Union Emission Trading scheme (EU ETS), Germany’s Energiewende, and the U.S. EPA Clean Power Plan

Literature:
Obligatory readings (along with the course)

  • Perman et al.: Natural Resource and Environmental Economics, Pearson.
  • Stern Review, part IV – VI
  • IPCC AR5 WG III, chapters 13-15
  • Edenhofer et al.: The Atmosphere as a Global Common - Challenges for International Cooperation and Governance, Handbook of the Macroeconomics of Global Warming
  • A number of specific articles will be distributed during the semester. Students are expected to read about one paper per week.

Recommended readings (to prepare for the course)

  • Fudenberg & Tirole: Game theory, MIT Press.
  • The timeline of UNFCCC climate negotiations.

Exam:
Students will be graded based on weekly problem sets (homework assignments) and a written mid-term exam. There is no final exam. Ph.D. students will be asked to take an oral exam in addition to the assignments and the mid-term exam.

Credits:
6.00
Click here to get more information or to sign up
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