(cross-listed as ECON 451) This course will develop the skills used in empirical financial research. Extensive focus will be placed on intuition and the application of econometric methods in time series analysis. Topics will include time-series data, stationarity, nonlinearity, conditional value at risk, forecasting methods and evaluation, volatility modeling (ARCH, GARCH), Markov switching, and asset pricing models. Statistical software will be used extensively. Students are required to complete an independent research project. Course includes extensive experiential learning component. Prerequisites: ECON 350.
ECON 350
1 course