Class Id: 9434
Days: MW
Start Time: 09:30 AM
End Time: 10:50 AM
Building: BENDC
Room: 103
Course Id: 4221
Departments and Numbers: FIN 504, ORF 504
Area:
Title: Financial Econometrics
Description: Econometric and statistical methods as applied to finance. Topics include: Overview of Statistical Methods; Predictability of asset returns; Discrete time volatility models; Efficient Portfolio and CAPM; Multifactor Pricing Models; Intertemporal Equilibrium and Stochastic Discount Models; Expectation and present value relation; Simulation methods for financial derivatives; Econometrics of financial derivatives; Forecast and Management of Market Risks; Multivariate time series in finance; Nonparametric methods in financial econometrics
Prerequisites:
Professors: Jianqing Fan, Marc Hallin
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Created by Bob Dondero.