ECON 763 Financial Econometrics (3 credits)

Offered by: Economics (Faculty of Arts)

Administered by: Graduate Studies

Overview

Economics (Arts) : This course covers advanced time series methods used in the analysis of financial data and other potentially non-stationary time series. Topics: integrated time series, co-integration, unit root testing, conditional heteroscedasticity, long memory, non-parametric and neural network models. Applications include market efficiency, stochastic volatility and predictability of asset returns.

Terms: Fall 2017

Instructors: Jean Marie Dufour (Fall)