CAS EC 794
Financial Econometrics
Graduate Prerequisites: (GRSEC712) or consent of instructor. - Presents econometric theory and methods for the analysis of financial markets. Topics include cross section and time series properties of asset returns, parametric and nonparametric volatility measurement, implied volatility, estimation of asset pricing models, continuous time models, systemic risk, and model uncertainty.
Topics
- cross section and time series properties of asset returns
- parametric and nonparametric volatility measurement
- implied volatility
- estimation of asset pricing models
- continuous time models
- systemic risk
- and model uncertainty
Topics explicitly listed in official catalogue description
Sources
- Course catalogue ↗2026-2027