Financial Time Series Econometrics

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This is an advanced course covers basic univariate and multivariate models and methods used to analyze financial and economic time series data and panel time series data. Topics include: classic linear models; serial dependence, autocorrelation in error variances (ARCH, GARCH); methods that allow for nonlinearity, tail dependence, comovements, conditional value at risk, fat-tails, nonstationarity; vector autoregressive models; factor models; Markov switching, latent factors, measurement errors, stochastic volatility; empirical asset pricing models. The aim of the course is to help students write their senior essays and start their own research in economics and finance.

Instructor(s) from Econ Site: 
Xiaohong Chen
Instructor Name from WEN: 
Xiaohong Chen
Meeting Pattern (deprecated): 
TTh 1.00-2.15
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