FINE 6310 3.00
Title | ECONOMETRICS OF FINANCIAL MARKETS |
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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 |