Courses

Description:

Exam Advanced Methods in Quantitative Finance.

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Tuesday,
10:00am to 12:00pm
at HU Berlin, Spandauer Str. 1, Room 21b
Description:

The course Advanced Methods in Quantitative Finance aims to develop and equip students with professional skills in modern quantitative finance. The course starts with an introduction into the basic concepts of value at risk, option pricing and its probabilistic foundations. Next, fundamentals of credit risk will be studied; rating migrations will be studied. Black‐Scholes (BS) Option model is presented leading to the analytic solution for the BS Option price. Numerical solutions via a binomial or trinomial tree construction are discussed in detail. Modern financial engineering techniques such as the Implied volatility (IV) models or State Pricing Densities estimation will be also discussed as approaches to resolve a shortcoming of the BS model.

Exam:
Oral exam

Credits:
3.00
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Instructor:
Tuesday,
10:00am to 12:00pm
at HU Berlin, SPA1, Room 22
Description:

How to use dynamic stochastic general equilibrium models for positive and normative analysis.

Exam:
Written exam (90 min)

Credits:
6.00
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Instructor:
Description:

Exam Advanced Monetary Economics 1st Date

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Description:

Exam Advanced Monetary Economics 2nd Date

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Monday, 10:00am to Tuesday, 05:00pm
at tba
Description:

This short course about "Loan Pricing and Lending Relationships" takes place on June 25/26, 2012. It is organized by the BDPEMS and open to RTG and HGSB students. Further details (exact topic, syllabus, registration, etc.) will follow asap!

Please sign up on this website for this course until May 29, 2012.

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Description:

This short course takes place on June 1, 2012 (10:00am-12:45pm and 2:00pm-4:45pm). It is organized by the Research Training Group 1659 „Interdependencies in the regulation of markets” and open to BDPEMS students. Please find the syllabus attached below. 

Credits:
2.00
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Instructor:
Tuesday,
12:00pm to 04:00pm
at HU Berlin, Spandauer Straße 1, Room 220
Description:

Quasi-maximum likelihood and GMM estimation, multiple equation estimation, empirical likelihood methods, Bayesian inference, MCMC techniques, nonparametric methods, applications.

Literature:
C. Gourieroux & A. Monfort (1995): Statistics and Econometric Models, Vol. I, II, University Press, Cambridge.
Hayashi, F. (2000): Econometrics, Princeton University Press.

Exam:
Written exam (90 min)

Credits:
9.00
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Instructor:
Description:

Exam Econometrics II (Advanced Econometrics) 1st Date

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Instructor:
Description:

Exam Econometrics II (Advanced Econometrics) 2nd Date

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Instructor:
Tuesday, 08:00am at HU Berlin, Spandauer Straße 1, Room 22
Description:

This course takes place on September 18, 2012 and focuses on empirical archival accounting research, covering theoretical, methodological and technical aspects of this research program. After this course, participants should

  • have a clear understanding about the theoretical foundations of positive and capital market-linked accounting research,
  • understand the methodological approaches to and common pitfalls of empirical archival research designs,
  • have acquired information about the concept, usability and inter-operability of different data sources, like Compustat, CRSP, Worldscope, Datastream and I/B/E/S,
  • and, using the statistical software packages STATA and/or SAS, have gathered first experiences in designing and conducting a large-scale research project.

The course is offered in cooperation with the doctoral program of the German Association of Business Research (VHB). As the number of participants is limited we kindly ask to sign up for this course until June 4, 2012.

Selected overview literature:
Fields, T., Lys, T., and Vincent, L. (2001): Empirical research on accounting choice. In: Journal of Accounting and Economics 32: 255-307.
Kothari, S. P. (2001): Capital markets research in accounting. In: Journal of Accounting and Economics 31: 105-231.
Leuz, C. and Wysocki, P. (2008): Economic Consequences of Financial Reporting and Disclosure Regulation: A Review and Suggestions for Future Research, SSRN Working Paper.

Exam:
The course will consist of a combination of lectures, paper presentations by students, and a project conducted by the students in a lab-style atmosphere.

Credits:
6.00
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Description:

Exam Empirical Methods in Accounting and Finance

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Instructor:
Monday,
10:00am to 12:00pm
at HU Berlin, Spandauer Straße 1, Room 21b
Description:

This course aims at equipping students with the skill-set to design and conduct empirical studies based on observational (archival) data in the fields of accounting and finance. After successful completion of the course students should

  • understand the fundamentals and common pitfalls of quasi-experimental research design,
  • be familiar with matching mechanisms, instrumental variable and panel data approaches which help with causal inference,
  • be aware of limitations of these research designs,
  • and, using the statistical software packages STATA and/or SAS, have gathered experiences
in designing and conducting large-scale research projects.

The course consists of a combination of lectures, practical exercises, and student presentations of homework assignments. Lectures will be based on the relevant literature and on seminal as well as recent journal articles. Participants are responsible for reading the assigned materials before class and to hand in the homework assignments on time. The homework assignments will be group-based.

Literature:
Angrist, Joshua D. and Jörn-Steffen Pischke (2009): Mostly Harmless Econometrics: An Empiricist's Companion, Princeton University Press.
Morgan. Stephen L. and Christopher Winship (2007): Counterfactuals and Causal Inference: Methods and Principles for Social Research, Cambridge University Press.
Wooldridge, Jeffrey M. (2010): Econometric Analysis of Cross Section and Panel Data, The MIT Press.

Exam:
The final grade will be based on the assignments (40 % combined) and on the written exam (60 %). Students need to achieve satisfactory grades in all assignments and the exam to pass the course.
Credits:
6.00
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Description:

Exam Empirical Public Economics

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Instructor:
Thursday,
02:30pm to 05:00pm
at FU Berlin, Garystr. 21, Room 105
Description:

The aim of the course is to teach students how to interpret empirical research in public economics and to apply modern econometric methods commonly used in the field. Topics covered include: Effects of taxes and government transfers on labor supply, consumption and savings behavior of households; taxable income literature; welfare analysis of tax reforms; incentive and welfare effects of social insurance programs. Empirical approaches covered in the course include both structural and non-structural estimation methodologies, such as “natural experiments”, treatment effects estimation, ex-ante policy evaluation and microsimulation. Doctoral students are expected to write a research paper on some topic in empirical public economics.

Literature:
Lecture notes and research papers.

Exam: 
Final exam (2 hours, 60 percent), research paper (40 percent).

Credits:
6.00
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Wednesday, 03:00pm at HU Berlin, Dorotheenstraße 1, Room 005
Description:

This short course is planned to take place from July 11 to July 13, 2012. Final dates of the course are going to be announced.

As the number of participants is limited we kindly ask to sign up for this course until June 4, 2012.

Credits:
3.00
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Instructor:
Description:

Exam Experimental and Behavioral Economics

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Instructor:
Monday,
02:00pm to 04:00pm
at TU Berlin, Straße des 17. Juni 136, Room MA 043
Description:

Students are introduced to the methods of economic experiments. They will receive an overview of the field with a focus on more recent reseach topics. Among the topics covered in the course are endowment effects, mental accounting, inattention/salience/shrouding, status-quo bias and defaults, charitable giving, intention-based fairness, level-k reasoning and Quantal Response Equilibrium.

Exam:
Participants have to give a short presentation and pass a final exam.

Credits:
6.00
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Instructor:
Monday,
10:00am to 02:00pm
at HU Berlin, Spandauer Straße 1, Room 22
Description:

The lecture deals with the statistical properties of financial market data and econometric methods that can be used to analyse these data. We will study procedures to test for the efficient market hypothesis and become familiar with methods to model the mean and the volatility of financial data series. Besides the application of nonparametric and classical test procedures, the focus will be on time series methods and models. In particular, ARMA and GARCH models will be covered.

Exam:
Written exam (90 min)

Credits:
9.00
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Instructor:
Description:

Exam Financial Econometrics 1st Date

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Description:

Exam Financial Econometrics 2nd Date

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Instructor:
Wednesday,
10:00am to 12:00pm
at HU Berlin, Dorotheenstraße 1, Room 005
Description:

This course introduces students to the regulation of financial markets and the participants in these markets. It consists of three parts. The first two parts analyze the financial disclosure requirements of non-financial corporations and the impact of these requirements on corporate policies. The third part discusses the most relevant financial frictions that policy makers should consider when regulating financial institutions. Part IV reviews the economics of financial crises and discusses what regulatory mechanisms exist to prevent financial crises. 

Course Outline:

  • April 11, 2012: Introduction to Course (fix date of final exam)
  • April 18, 2012: Financial Reporting and Disclosure: An Institutional Primer (Gassen)
  • April 25, 2012: Regulated versus Voluntary Disclosure: Intended and Unintended Consequences (Gassen)
  • May 2, 2012: Financial Reporting and Mechanism Design: Contractual Consequences (Gassen)
  • May 9, 2012: SOX (Adam)
  • May 16, 2012: Financial Reporting and the Capital Market (Gassen)
  • May 23, 2012: Regulation FD* (Adam)
  • May 30, 2012: Rule12h-6 (Adam)
  • June 6, 2012: Financial Frictions in DSGE Models I (Weinke)
  • June 13, 2012: Financial Frictions in DSGE Models II (Weinke)
  • June 20, 2012: Financial Frictions in DSGE Models III (Weinke)
  • June 27, 2012: Basic Mechanisms of Financial Crises (Heinemann)
  • July 4, 2012: Maturity Transformation and Systemic Risk (Heinemann)
  • July 11, 2012: Capital Adequacy Requirements and Lender of Last Resort (Heinemann)

* alternatively: Symposium des Humboldt-Forums Wirtschaft mit dem Thema "Europa -- zum Glück vereint?"

Literature:

syllabus

Credits:
6.00
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Instructor:
Wednesday,
09:30am to 01:00pm
at ESMT
Description:

Prerequisite: Microeconomics 1, especially a solid understanding of game theory.

This course familiarizes students with classic questions and models in industrial organization and strategic management. We cover mainly classic models of static as well as dynamic competition with applications to competitive strategy, mergers, collusion, managerial incentives, regulation, and trade policy. Nevertheless, some new developments in IO are also discussed in class. Students are meant to learn how various modeling choices determine results as well as develop a through understanding of the game-theoretic tools applied in industrial organization and strategic management.

Background Literature:

  • Tirole (1988), The Theory of Industrial Organization, MIT Press.
  • Motta (2004), Competition Policy: Theory and Practice.
  • Belleflamme and Peitz (2009), Industrial Organization: Markets and Strategies
  • Selected journal articles.
Credits:
4.50
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Instructor:
Wednesday,
08:00am to 10:00am
at 1st part: TU Berlin, Main Building, Room H 2038
Wednesday,
10:00am to 12:00pm
at 1st part: TU Berlin, Main Building, Room 3008
Wednesday,
08:30am to 12:00pm
at 2nd part: HU Berlin, Spandauer Straße 1, Room 21a
Description:

The following topics will be taught: Asset pricing; advanced preference theory such as Epstein-Zin; dynamic contracts and applications; growth models, OLG models; Money and models of price and wage rigidities; economic policy and time consistency, applied VAR analysis.
This will be complemented by deepening the knowledge regarding mathematical and econometric tools, such as MATLAB and/or EViews.

Organisation:
The first part of the course, i.e. from April 11 to May 23, 2012 will be taught by Frank Heinemann at the TU Berlin. Monique Ebell will hold the second part, i.e. from May 30 to July 11, 2012 at HU Berlin.

Exam:
Written exam (90 min)

Credits:
9.00
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Instructor:
Thursday,
02:00pm to 05:00pm
at Module I: ESMT Bookshop
Thursday,
02:00pm to 05:00pm
at Module II: at ESMT, room to be confirmed
Description:

The course Management Science II is divided into two consecutive modules: the first module encompasses marketing models while the second module covers intellectual property rights and the market for technology. Time I and Venue I above refer to the first module, Time II and Venue II to the second module.

Please refer to the dowloads below for details (course outline and format, reading list, etc.) about the two modules.

Credits:
4.50
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Instructor:
Monday,
12:00pm to 04:00pm
at ESMT, Schlossplatz 1, Room 00.21
Monday,
12:00pm to 04:00pm
at HU Berlin, Spandauer Straße 1, Room 203
Description:

The course provides a rigorous and systematic introduction into the theory of markets and organizations at a level geared to Ph.D. students. It covers all areas of microeconomics on an advanced level. Particular emphasize is given to the theory of asymmetric information and incentives.  

Note: The first part (April 16 to May 21, 2012) takes place at the ESMT, the second part  (May 28 to July 9, 2012) takes place at Spandauer Str. 1.

Exam:
Written exam (90 min)

Credits:
9.00
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Thursday,
10:00am to 12:00pm
at FU Berlin, Garystraße 21, Room 104a
Thursday,
02:00pm to 04:00pm
at FU Berlin, Garystraße 21, Room 104a
Description:

Participating students are expected to be familiar with basic time series analysis and methods of econometrics. The course covers advanced methods of modelling and analysing multiple time series. Students are introduced to the models, parameter estimation and specification of the relevant models. They will learn to use them for economic analysis and forecasting.
 

Contents: 

  • Review of univariate time series analysis
  • Vector autoregressive (VAR) models
  • Specification and estimation of VAR models
  • Cointegration
  • Vector error correction models (VECMs)
  • Estimation of VECMs
  • Cointegration tests and specifications of VECMs
  • Structural vector autoregressive analysis


Literature:
H. Lütkepohl, New Introduction to Multiple Time Series Analysis, Springer, Berlin, 2005.

Please note that the first lecture on 12 April 2012 will exceptionnally be from 2:15 to 3:45 pm in the Lecture Room C, Henry-Ford-Bau (Garystraße 35).

 

Credits:
6.00
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Instructor:
Description:

Exam Multiple Time Series Analysis 1st Date

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Instructor:
Description:

Exam Multiple Time Series Analysis 2nd Date

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Instructor:
Tuesday,
08:00am to 10:00am
at HU Berlin, Spandauer Straße 1, Room 22
Thursday,
12:00pm to 02:00pm
at SPA1, R22
Description:

Basic concepts, models with fixed and random effects, specification tests, simultaneous equations and dynamic models, models for qualitative dependent variables.

Literature:
Badi H. Baltagi: Econometric Analysis of Panel Data, Wiley & Sons, 1995

Exam:
Written exam (90 min)

Credits:
9.00
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Instructor:
Description:

Exam Panel Data Analysis 1st Date

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Instructor:
Description:

Exam Panel Data Analysis 2nd Date

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Instructor:
Thursday,
10:00am to 12:00pm
at HU Berlin, Spandauer Straße 1, Room 23
Description:

The course is designed to train students in the use of advanced methods of theoretical and empirical analyses of labor market regulations and to introduce them to the cutting edge of labor market regulation research. The focus will be on three topics: the theory of labor market regulations, the role of public education for the development of the labor market and the analysis of the interaction between product and labor market regulation.

Outline:
Introduction (April 12, 2012)
I. Regulation of markets for education (Kübler: April 19/26, 2012)
II. Labor in Economic Development (Jayaraman: May 3/10/24, 2012)
III. Theory of labor market regulation (Schöb: May 31, June 7, 2012 à 3 hours)
IV. Product market regulation and the labor market (Spitz-Oener: June 21/28, July 5/12, 2012)

Literature:
Selected journal articles, see attached syllabus

Exam:
to be announced

Credits:
6.00
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Tuesday,
09:00am to 11:00am
at Vorlesung: HU Berlin, Rudower Chaussee 25, Raum 1.013
Friday,
09:00am to 11:00am
at Vorlesung: HU Berlin, Rudower Chaussee 25, Raum 1.013
Tuesday,
11:00am to 01:00pm
at Übung: HU Berlin, Rudower Chaussee 25, Raum 3.007
Description:

Note: This course is held in German.

Kursinhalte:
Zufällige Versuche und Wahrscheinlichkeitsräume, Zufallsgrößen und zufällige Vektoren, ihre Verteilungsfunktionen und ihre Momente, Unabhängigkeit, Korrelation, bedingte Wahrscheinlichkeiten, charakteristische Funktionen, Summen unabhängiger Zufallsgrößen, Gesetze der großen Zahlen, Zentrale Grenzwertsätze, Hauptsatz der Mathematischen Statistik (Gliwenko-Cantelli), Elemente der Schätz- und Testtheorie.

Oben vermerkte Zeiten sind die der Vorlesung und einer von drei möglichen Übungen. Für die anderen Übungstermine bitte AGNES konsultieren.


Prüfung:
Maximal dreistündige Klausur oder halbstündige mündliche Prüfung. Zulassungsvoraussetzung für die Prüfung: Übungsschein Stochastik I

 

Credits:
10.00
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Description:

This short course takes place on

  • June 4, 2012 (10:00am - 6:45pm),
  • June 5, 2012 (9:00am - 4:00pm) and
  • June 25, 2012 (12:00pm - 6:30pm).

It is organized by the Research Training Group 1659 „Interdependencies in the regulation of markets” and open to BDPEMS students. Please find the syllabus below.

Credits:
4.00
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Wednesday,
10:00am to 02:00pm
at HU Berlin, SPA1, Room 203
Description:

The course reviews the main topics and models of the incentive theory. It focuses on the principal-agent paradigm where the principal delegates an action to a single agent through the take-it-or-leave-it offer of a contract. Major topics are represented by the problem of adverse selection, which occurs when the agent learns some piece of information relevant to the contractual relationship, and the problem of moral hazard, which appears as soon as the agent’s actions are not observable. First, the trade-offs that emerge in these contexts are characterized: the rent extraction-efficiency trade-off under adverse selection and the trade-offs between the extraction of limited liability rent and efficiency and also between insurance and efficiency under moral hazard. Then, extensions of the basic framework to more complex environments are discussed. Mixed models with adverse selection, moral hazard and nonverifiability of the state of the world are also treated. Principal-agent models with adverse selection and moral hazard are finally considered in a dynamic context.

 
Literature:
Laffont/Martimore, "The Theory of Incentives: The Principal-Agent Model", 2001
Bolton/Dewatripont, "Contract Theory", 2005
Salanié, "The Economics of Contracts", 2005
Macho-Stadler, Perez-Castrillo, "An Introduction to the Economics of Information: Incentives and Contracts", 2001
Mas-Colell, Whinston, Green, "Microeconomic Theory", 1995
 
Exam:
Written exam (90 min)
Credits:
6.00
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Thursday,
10:00am to 12:00pm
at June 14: SPA1 room 112; June 15: SPA1 room 21B
Thursday,
02:00pm to 04:00pm
at June 14: SPA1 room 112; June 15: SPA1 room 21A
Description:

This short course takes place on June 14/15, 2012 (10:00am-12:00pm and 2:00pm-4:00pm). It is organized by the Research Training Group 1659 „Interdependencies in the regulation of markets” and open to BDPEMS students. Further details (exact topic, syllabus) see download. Please write an email to rtg1659.wiwi@hu-berlin.de to register.

Credits:
2.00
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Instructor:
Description:

Exam Treatment Effect Analysis

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Instructor:
Friday,
10:00am to 12:00pm
at TU Berlin, Main Building, Room H 0112
Friday,
08:00am to 10:00am
at TU Berlin, Main Building, Room H 0112
Description:

What is a causal effect and how can we identify and estimate a causal effect from nonexperimental data? These are among the most important questions in applied econometric research. This course will give an introduction and overview over the most important concepts and methods in this field, including the Rubin model of causality, the Roy model, statistical matching, instrumental variables, difference-in-differences methods, switching regression models, regression discontinuity design.

Please note that the tutorial, held by Stefan Mangelsdorf, on Fridays, 8-10am, starts on April 20, 2012.

Exam: Written exam (90 min)

Credits:
9.00
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