FINC 535/5204 - Applied Financial Econometrics (3 cr.)
Description
This course introduces the main econometric methods and techniques used in the analysis of issues related to finance. The course will cover econometric models and their application to various financial problems such as: the testing of market efficiency, empirical testing of the various asset pricing models (CAPM, Fama French, APT), measuring and forecasting volatility of bond and stock returns (ARCH and GARCH models) and tests for market contagion amongst others.
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