Course Detail

Financial Econometrics (41203)

Course Description by Faculty

  • Russell, Jeffrey
  • Content
    For autumn quarter, this class will be offered in dual mode but it is possible that the faculty member will not be in the classroom.

    This course covers a variety of topics in financial econometrics. The topics covered are of real- world, practical interest and are closely linked to material covered in other advance finance courses. Topics covered include ARMA models, volatility models (GARCH), factor models, models for time varying correlations, analysis of panel data, cointegration models for long-run co-movement between prices and models for transactions data and the analysis of transactions cost.
  • Prerequisites
    Cannot enroll in BUSN 41203 if BUSN 20820 taken previously.
  • Materials
    See course web page for additional information:
  • Grades
    Homework, midterm, and final exam. No provisional grades. No auditors.
    • No auditors

  • Syllabus
  • Winter 2024Section: 41203-81W 6:00PM-9:00PMGleacher Center208In-Person Only
Description and/or course criteria last updated: November 5 2023