Financial Econometrics

3 Credits · Level: Graduate, Undergraduate

ECON 5811 , Financial Econometrics, provides a hands-on treatment of the reduced form and semi-structural models most widely used in financial time series and macro-finance applications. The first part of the course will cover univariate and multivariate time series models for high frequency financial time series and their applications, in particular GARCH models for risk assessment and optimal portfolio allocation. The second part of the course will be on the workhorse semi structural models used in applied finance to describe the equilibrium relationship between risk and returns. In particular the course will cover various versions of the CAPM, APT, and affine term structure models. The instructor will