FIN 552

fall 2020

All Classes

Applied Financial Econometrics

Credit: 4 hours.

The aim of this course is to equip students with a working knowledge of important econometric techniques necessary to understand and interpret financial market data. The course covers time-series and cross-sectional properties of asset returns, predictability of equity returns, empirical tests of asset pricing models, modelling time-varying volatility. The interplay between asset pricing theories, statistical assumptions and relevant econometric techniques is explored in the context of published empirical work, including classical papers as well as a more recent research.

4 graduate hours. No professional credit. Credit is not given for FIN 552 and FIN 580 Section DK2 (72033) or FIN 580 Section DK (70390). Prerequisite: FIN 511.

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