Course Title

Financial Econometrics

Course Code

ECON 543

Prerequisite Course

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Course Description

The objective of this course is to provide students with the practical experiences in using the empirical econometric tools and techniques in financial/economic applications and analysis. Topics covered include: models of financial returns, models of return volatility risk, models of risk and returns for multiple assets, stationarity and cointegration, models for high-frequency price dynamics, analysis of panel data.

Course Level

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Course Material

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Reading Recommendation

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Course Language

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