Units: 1.5, Hours: 3-1
The application of econometric methods to asset pricing models and financial data. Topics may include: stylized facts for financial returns, forecasting returns, volatility modelling and forecasting, tests of the random walk hypothesis, option pricing, extreme values and value at risk, asset portfolios, modelling with ultra-high frequency data.
Note: 366, 435 recommended.
Prerequisites: 305 or COM 240; one of 365, STAT 350, STAT 353, or permission of the department.
Pre- or corequisites: 225 or ENGR 240 or a minimum grade of B+ in ENGL 135, 146 or 147.
Undergraduate course in Economics offered by the Department of Economics in the Faculty of Social Sciences.