This course will cover a number of topics in financial econometrics. These will probably include testing the random walk hypothesis, autoregressive conditional heteroskedasticity, econometric methods for transactions data, event studies, testing the CAPM, and value at risk. Other topics that may be covered include models of the term structure, derivative pricing, and the econometrics of foreign exchange rates.

Course Webpages:
Economics 872

Course Offerings

This course is not currently offered.