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    ECON 8780 - Financial Econometrics

    ECON 8780
    FINANCIAL ECONOMETRICS
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    Financial Econometrics. Prerequisite: Econ 8740 The course provides background in financial econometric methods to conduct applied empirical work using financial data. The topics covered are predictability of asset returns; modeling of volatility (ARCH-GARCH and stochastic volatility); high-frequency data models; extreme values and VaR; multivariate time series analysis (VAR, cointegration, principal components, factor analysis); continuous-time models; and econometrics of option pricing models and term-structure of interest rates.
    Total Credit Hours 3.0

    3.0 Credits

    Financial Econometrics. Prerequisite: Econ 8740 The course provides background in financial econometric methods to conduct applied empirical work using financial data. The topics covered are predictability of asset returns; modeling of volatility (ARCH-GARCH and stochastic volatility); high-frequency data models; extreme values and VaR; multivariate time series analysis (VAR, cointegration, principal components, factor analysis); continuous-time models; and econometrics of option pricing models and term-structure of interest rates.