HS 638 Financial Econometrics

Course content
  • Statistical Properties of Financial Returns, Univariate Time Series and it’s Applications in Finance, Multivariate Time Series Analysis and its Application in Finance, Co integration and Error Correction Model and its Application in Finance, Univariate Volatility Modeling – ARCH and GARCH Model, Historical Volatility, Realized Volatility and Implied Volatility, Markov and Regime Switching Model and its Application in Finance, Multivariate Volatility and Correlations Model and its application in finance
  • C.Dougherty, 302223Introduction to Econometrics302224,Oxford Publication, Third Edition, 2007.
  • R.S Tsay, 302223Analysis of Financial Time Series302224, John Wiley & Sons, Inc, Second Edition, 2002.
  • Brooks C, 302223 Introductory Econometrics for Finance302224, Cambridge University Press, Second Edition, 2008.
  • Green W.H, 302223Econometric Analysis302224, Prentice Hall, Fifth Edition, 2006
Pre-requisite : N/A
Total credits : 6
Type :
Duration : Spring 2023
Name(s) of other Academic units to whom the course may be relevant : N/A