FINANCIAL ECONOMETRICS
Introduction to econometric analysis of financial time series. Covers linear econometric time series models, multivariate time series, volatility estimation, and estimating and testing financial econometric models.
Prerequisites & course information
Requisites: ECON 704 Course Designation: Grad 50% - Counts toward 50% graduate coursework requirement Repeatable for Credit: No Last Taught: Spring 2026 Learning Outcomes: 1. Demonstrate an understanding of the major theories of financial pricing Audience: Graduate 2. Use the theory of efficient markets to understand asset pricing Audience: Graduate 3. Use linear time-series econometric models for financial forecasting Audience: Graduate 4. Use volatility models to identify financial uncertainty Audience: Graduate 5. Formulate and estimate asset pricing models Audience: Graduate 6. Work with real financial data sets Audience: Graduate 7. Build models for portfolio optimization Audience: Graduate Learning Outcomes: 1. Demonstrate an understanding of the major theories of financial pricing Audience: Graduate 2. Use the theory of efficient markets to understand asset pricing Audience: Graduate 3. Use linear time-series econometric models for financial forecasting Audience: Graduate 4. Use volatility models to identify financial uncertainty Audience: Graduate 5. Formulate and estimate asset pricing models Audience: Graduate 6. Work with real financial data sets Audience: Graduate 7. Build models for portfolio optimization Audience: Graduate
Sources
- Course catalogue ↗2026-2027