Econometrics of Asset Prices

4 units · Graduate courses (200-299)

Lecture, three hours. Requisite: course 264A. Designed for graduate students. Applications of time-series methods to analysis of asset prices: general method of moments, vector autoregressions, and maximum likelihood estimation. Restrictions imposed by no-arbitrage on time series of returns. Empirical implications of macroeconomic models for asset prices. Response of asset prices to shocks. Incomplete markets. S/U or letter grading.