ECON 419a. Financial Time Series Econometrics

Day / time: 
T/Th 1:00 -2:15 pm
Course Type: 
Undergraduate
Course term: 
Fall
Year: 
2016
Instructor(s): 

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:Two semesters of econometrics.
Semester offered: 
Fall
Undergrad Course Category: 
Methodology