2.0

credits

Average Course Rating

Financial econometrics is the intersection of statistical techniques and finance. It provides a set of empirical tools to analyze historical financial data, model underlying economic mechanisms, and predict future price trends. This course covers both cross-sectional and time-series data. Multivariate regression analysis is developed to study the cross-sectional differences in stock returns of individual firms and associated portfolio models. Applications of these techniques to evaluate the performance of new trading strategies and hedge fund managers are also discussed. Furthermore, time-series models are introduced to model and forecast both time-varying aggregate stock returns and volatility. The course prepares students to conduct empirical research in an academic or business setting. Stata will be used for the class.