BUS386: Financial Econometrics
3 hr., 3 credits
The course will introduce students to methods of empirical analysis of financial markets. It will cover modern statistical and econometric techniques necessary for both professional and academic quantitative research in finance. Particular emphasis will be placed on measuring risk of holding and trading financial assets. Topics include: autoregressive and moving average models, ARCH, GARCH, analysis of high frequency intraday financial data.
Prerequisites: ECON 382 or BUS 384; and MATH 241 or permission by the instructor.
ECON382: Introduction to Econometrics
3 lecture hr.; 1 lab hr.; 3 credits
This course will begin with a review of statistics and hypothesis testing, then introduce simple and multiple regression techniques; the estimation of regression using ordinary least squares; inference; and the use of spreadsheets and statistical software to estimate economic models.
Prerequisites: Math 131 or equivalent and Economics 249 or equivalent.
2 hr. plus conference; 3 credits
Analysis of the classic single equation regression models (simple and multiple), simultaneous equation models, and special problems associated with time series and qualitative data.
Prerequisites: One semester of calculus and Economics 249 or equivalent