Financial Econometrics

Subject: 
Statistics (STAT)
Catalog number: 
974
Unit weight: 
0.50
Meet type: 
LEC
Grading basis: 
NUM
Cross-listing(s): 
ACTSC-974
Requisites: 
N/A
Description: 
The focus of this course is on the statistical modelling, estimation and inference and forecasting of nonlinear financial time series, with a special emphasis on volatility and correlation of asset prices and returns. Topics to be covered normally include: review on distribution and dynamic behaviour of financial time series, univariate and multivariate GARCH processes, long-memory time-series processes, stochastic volatility models, modelling of extreme values, copulas, realized volatility and correlation modelling for ultra high frequency data and continuous time models.
Topic titles: 
N/A
Faculty: 
Mathematics (MAT)
Academic level: 
GRD
Course ID: 
014063