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May 08, 2024
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2016-2018 Undergraduate and Graduate Bulletin (without addenda) [ARCHIVED CATALOG]
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FRE-GY 6091 Financial Econometrics1.5 Credits
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(s): FRE-GY 6083 and Graduate Standing. Students are expected to know basic statistics.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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