ECON 389 - Applied Financial Econometrics

1 unit(s)

Applications of economic theory and econometrics to the analysis of financial data. Topics include the efficient markets hypothesis, capital asset pricing model, consumption based models, term structure of interest rates, arbitrage pricing theory, exchange rates, volatility, generalized method of moments, time-series econometrics. Paul Johnson.

Prerequisite(s): ECON 201, ECON 210 and ECON 225, MATH 126 and MATH 127 or equivalent; or permission of the instructor.

Recommended: MATH 220, MATH 221 recommended.

Not offered in 2019/20.

Course Format: CLS