ECON 468

Financial Econometrics

Units: 1.5

Hours: 3-1-0

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.

Prerequisites:

Pre- or Co-requisites:

Recommendation(s):

Undergraduate course in Economics offered by the Department of Economics in the Faculty of Social Sciences.

Schedules:
Summer 2018 Fall 2018 Spring 2019

Summer timetable available: February 15. Fall and Spring timetables available: May 15.

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