ECON 763 Financial Econometrics (3 credits)

Note: This is the 20122013 edition of the eCalendar. Update the year in your browser's URL bar for the most recent version of this page, or click here to jump to the newest eCalendar.

Offered by: Economics (Faculty of Arts)

Administered by: Graduate Studies


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: This course is not scheduled for the 2012-2013 academic year.

Instructors: There are no professors associated with this course for the 2012-2013 academic year.