The course is about analyzing prices of financial assets traded in competitive markets through econometric methods; it utilizes concepts from microeconomics, finance, mathematical optimization, data analysis, probability models and statistical analysis. After an overview of multiple regression, dummy variables and panel data, the course focuses on methodologies in modeling and testing time series data (analysis of data sets that change over a time period): Cointegration, Autoregressive Integrated Moving Average (ARIMA) models, Generalized Autoregressive Conditional Heteroskedasticity (GARCH), Granger Causality, Event Study, and Monte Carlo analysis. The last portion of the course is spent on studying classic applications found in literature and on applied work undertaken by students on various topics of their choice. Familiarity with econometric software will be essential as assignments will have to be carried out using standard packages such as Excel and STATA.
Prerequisites
Semester Offered
Spring