AFM 423 – LEC 0.50 – Course ID: 013754 – Topics in Financial Econometrics

This course is one of the topic courses in Econometrics. The course will focus on both the Econometric theory and applications in Economics and Finance. Topics may include several main components, such as regression theory (linear/non-linear regression models, multivariate regressions), estimation methodology (OLS, MLE, GMM, WLS/GLS, Monte Carlo simulations), and time series analysis/financial modelling (stochastic process, general ARMA process, autoregressive conditional heteroskedasticity model, stochastic volatility model, high frequency data analysis, nonstationarity for time series and co-integration, continuous time stochastic process). Prereq: AFM 323 or STAT 373(Cross-listed with ECON 405)

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