Econ 371b. Financial Time Series Econometrics

Day / time: 
M/W 1:00 - 2:15 pm
Course Type: 
Course term: 
Not offered

Survey of methods used to analyze financial time series data. Classic linear models; autocorrelation in error variances; methods that allow for nonlinearities; methods tailored to analysis of high-frequency data and modeling of value at risk; vector autoregressive models; factor models; the Kalman filter.

Prerequisites: ECONĀ 131 and 132, or ECON 135 and 136.

Semester offered: 
Not offered
Undergrad Course Category: