Course Description

440.617 - Financial Econometrics

[formerly 440.647] This course introduces students to the methods most commonly used in empirical finance. Key models and methods are ARCH, GMM, Regime-Switching Models, test of CAPM (Capital Asset Pricing Model), term structure models, and volatility models (implied, stochastic volatility). Students will also learn aspects of time series econometrics for both stationary and non-stationary variables at different time frequencies, with emphasis on financial variables. Prerequisites: 440.601 Microeconomic Theory and Policy; 440.606 Econometrics; 440.614 Macroeconometrics is recommended..