Oct 04, 2023  
2022-2023 Academic Catalog 
2022-2023 Academic Catalog [Published Catalog]

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ECON 528/5242 - Financial Econometrics (3 cr.)

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This course aims to advance students’ understanding of modern econometric techniques related to financial issues. This course will cover frontier tools of financial econometrics and empirical finance. The interaction between financial theory and econometric analysis is emphasized. Topics include: non-normality of financial data, volatility clustering and asymmetric volatility, time series models, Vector Autoregressive (VAR) models and continuous time and threshold models. The course is also designed to train students in formulating, estimating and testing models for financial time series using EViews software.

When Offered
Offered in spring.

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