Course Information

FRE6091 Financial Econometrics

Credits: 1.50

This course focuses on the art and science of statistical modeling of processes applied to business, finance and economics. These may include models of aggregate economic activity, economic behavior of firm or behavior of financial assets. Topics include statistical inference; maximum likelihood estimation; method of moments; Bayesian estimation; least-squares estimation; robust estimation; kernel estimation; copula estimation; analysis of variance; linear regression models; multiple regression; logistic regression; quantile regression; time series estimation; unit root tests; bootstrapping.

Prerequisite: FRE 6083. Students are expected to know basic statistics. Prerequisite FRE 6083 and Graduate Standing

Additional material: FRE 6091 FINANCIAL ECONOMETRICS.pdf