Financial Econometrics

(1.5 Credits)

Topics include a review of probability and statistical inference and linear regression models. The focus of the course is time series analysis with special attention to the modeling of financial stock prices and returns. Volatility modeling and estimation will be also addressed through the analysis of intra-day trading data. | Prerequisite: FRE-GY 6083 and a working knowledge of statistics. Matriculation into a master or doctoral program