Financial Econometrics-ECON 609

Econometrics for Finance
 
We define financial econometrics as 'the application of econometric techniques to problems in finance'. Although econometrics is often associated with analyzing economics problems such as economic growth, consumption and investment, the applications in the areas of finance have grown rapidly in the last few decades.
 
Financial markets and others generate vast amounts of data on asset returns, their volatility, and other financial variables in long and high-frequency time series. The ability to analyze market behavior requires knowledge of the properties of time series and appropriate estimation methods. Since the early 1980s techniques for analyzing time series, which exhibit auto-regression, have yielded important studies of financial markets, increasing our knowledge of financial variables’ volatility. The objective of the course is to extend your knowledge and equip you with methods and techniques that allow you to analyze these finance-related issues.