2020-2022 Undergraduate and Graduate Bulletin (with addenda) 
    
    May 30, 2024  
2020-2022 Undergraduate and Graduate Bulletin (with addenda) [ARCHIVED CATALOG]

FRE-GY 6091 Financial Econometrics

1.5 Credits
Topics include a review of probability and statistical inference and linear regression models. The focus of the course is time series analysis with special attention to the modeling of financial stock prices and returns. Volatility modeling and estimation will be also addressed through the analysis of intra-day trading data.

Prerequisite(s): FRE-GY 6083  and a working knowledge of statistics. Matriculation into MS Financial Engineering or permission of the department.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0