everything.study
BUSINESS F773

Empirical Methods in Finance

Graduate

2023

Topics

  • Bayesian econometrics
  • Likelihood estimation
  • Time-series models
  • Markov chain Monte Carlo
  • Particle filtering
  • GARCH
  • Stochastic volatility
  • Markov switching
  • Vector autoregressions

Readings

  • Notes on Bayesian Econometrics
    John M. Maheu · 2008 · unspecified
  • Introduction to Bayesian Econometrics
    Edward Greenberg · 2nd · unspecified
  • Analysis of Financial Time Series
    Ruey S. Tsay · 2010 · recommended/optional
  • Time Series Analysis
    James H. Hamilton · 1994 · recommended/optional
  • New Introduction to Multiple Time Series Analysis
    Helmut Lütkepohl · 2005 · recommended/optional
  • Contemporary Bayesian Econometrics and Statistics
    John Geweke · 2005 · recommended/optional
  • Bayesian Econometrics
    Gary Koop · 2003 · recommended/optional
Sources