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:

ECON 305 or COM 240; and
one of ECON 365, STAT 350, STAT 353; or
permission of the department.

Pre- or Co-requisites:

One of ECON 225, ENGL 135 with a minimum grade of B+, ENGL 146 with a minimum grade of B+, ENGL 147 with a minimum grade of B+, ENGR 240.

Recommendation(s):

ECON 366 and ECON 435 recommended prior to ECON 468.

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

Schedules:

Fall 2018

Spring 2019

Summer 2019

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

Before these dates the class schedule will show "No classes were found that meet your search criteria". If this message is shown after these dates, the course is not scheduled for the selected term.