Financial Time Series Econometrics

Description: 

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): 

Xiaohong Chen

Meeting Times: 

TTh 1.00-2.15

Term Code: 

202103Advanced Lecture Courses with Limited Enrollment

Prerequisite(s): 

Prerequisites: ECON 117 and 123, or ECON 135 and 136.