AS.440.617.80 : Financial Econometrics Spring 2025Python

Java Python AS.440.617.80 : Financial Econometrics

Course Information:

Financial Econometrics [Time-Series Analysis]

AS.440.617.80 ( 3.0 Credits )

AE Spring 2025 [AE Spring 2025]

Description

[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-stationadai 写AS.440.617.80 : Financial Econometrics Spring 2025Python ry 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..

What to Expect in this Course:

This course is 15 weeks in length and includes individual, group, and whole group activities in a weekly cycle of instruction. Each week begins on a Tuesday and ends on the following Monday. Please review the course syllabus thoroughly to learn about specific course outcomes and requirements. Be sure to refer to the Checklist each week, which provides a week-at-a-glance and shows targeted dates for the completion of activities