ECON 8780 - Financial Econometrics

3 Credit Hours
Prerequisites: ECON 8740 or ECON 9720 with grade of C or higher.
Description
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.