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ECON 763 Financial Econometrics (3 unités)

Offered by: Économie (Faculté des arts)

Administered by: Études supérieures et recherch

Vue d'ensemble

Économie (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: Hiver 2023

Instructors: Dufour, Jean Marie (Winter)

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