The course starts with a concise coverage of elementary concepts and computational tools for Bayesian modeling of financial data. Furthermore, it aims at complementing students' econometric competence in data analysis with a focus on Bayesian approaches. Towards the end of this course, state-of-the art univariate and multivariate volatility models are discussed and applied to real world data. Focus will be placed on topics that are of particular interest to the participants.

For this lecture participation is obligatory. Students are allowed to miss a maximum of 20% (no matter if excused or not excused).

The grade is composed as follows:

60 points: case studies / homework
15 points: students' presentations
20 points: final exam

  5 points: active classroom participation

Overall, 100 points can be achieved. The final grade is computed according to

 1 (at least 90),  2 (at least 80),  3 (at least  70),  4 (at least 60)