Econometric Analysis of Financial Data

Catalog description

Credits 3. 3 Lecture Hours. Predictability of asset returns, test of random walk hypothesis, the microstructure of securities markets, event analysis, the CAPM and arbitrage pricing theory, the term structure of interest rates, dynamic models of economic equilibrium and nonlinear financial models; provides an accessible combination of theory and practice. Prerequisites: Graduate classification; enrolled in the 5-Year BS/MS in Economics program; or approval of instructor.