2016-2017 Graduate Catalog

FN 904 Quantitative Research Methods II (Financial Econometrics)

This second lab-based quantitative research methods course covers the analytical material comprised within the growing discipline of financial econometrics. The course material encompasses time-series analyses and their applications to financial processes. Students gain foundations of modeling and forecasting key financial variables, including asset prices, returns, interest rates, financial ratios, defaults, and more. They become familiar with modern, state-of-the-art estimation methods of high-frequency financial data (such as ARCH-class tests, ARMA, Value at Risk models, and impulse response functions).

Credits

3

Prerequisite

FN 903 Quantitative Research Methods I: Advanced Statistics & Mathematical Modeling