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ECON 763. Financial Econometrics.

Credits: 3
Offered by: Economics (Graduate Studies)
This course is not offered this catalogue year.

Description

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.

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