Course Information

FRE6031 Money, Banking and Financial Markets

Credits: 1.50

Financial econometrics has matured into an important and necessary field, providing an opportunity to deal with practical problems in finance. For example, techniques such as ARCH and GARCH and their subsequent development are used to estimate the volatility of underlying financial processes; the analysis of intra-day trading data requires particular mathematic techniques; memory-based and persistent stochastic processes can be used for algorithmic trading and detecting markets incompleteness; and copulas are now applied routinely to model and estimate dependent risks. These financial and risk problems require the application of advanced financial-econometric techniques, which the course provides from theoretical and empirical-applied viewpoints. Selected cases provide a real-world sense of financial engineering when it is faced with financial-market reality and complexity.

Prerequisite: Graduate Standing

Additional material: FRE 6031 MONEY, BANKING AND FINANCIAL MARKETS.pdf