FINE 6310 3.00

Title ECONOMETRICS OF FINANCIAL MARKETS
Level Graduate
Department FINANCE - ROOM SSB N204A, (416) 736-5073 fax (416) 736-5687
Description This empirical methods course focuses on the statistical techniques that are most often used in the analysis of financial markets. The list of topics include: statistical properties of asset returns, tests of asset pricing models, efficient market hypothesis, event study methodology, simulation methods, panel data analysis, and volatility estimation such as GARCH, value-at-risk, and time-varying correlations. Co-requisite: FINE 6200 3.0