ECON/FINN 6219. Financial Econometrics. (3)

Crosslisted as ECON 6219. Prerequisites: ECON/STAT 6113. Advanced time series with financial applications. Topics covered include time series regressions (univariate and multivariate, stationary and non-stationary) and time series models (including ARMA, ARCH, GARCH, stochastic volatility and factor models). The emphasis will be on model properties, estimators, test statistics, and applications in finance. (Fall, Spring)

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