Financial Econometrics - 096588
Will not be given the year
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Lecture |
Exercise |
Laboratory |
Project or
Seminar |
House
Work |
Weekly
Hours |
3 |
1 |
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Determination of the grade according to progress during the semester and a final examination.
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Prerequisites:
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(
| | Capital Markets and Investments |
094566
| |
| | |
and
| Econometrics |
096586
| ) |
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or
|
(
| | Capital Markets and Investments |
094566
| |
| | |
and
| Advanced Econometrics |
098581
| ) |
Econometric Analysis of Financial Data. Topics Include: Predictability of Asset Returns, Market Efficiency, Market Microstructure, Event-Study Analysis, Capm (Capital-Assess Pricing Model) and Multifactor Models, Long Run Relationships and Nonlinear Models of Volatility.
Textbooks| Published | Publisher | Authors | Book |
|---|
| 1997 | princeton university press | lo et al | the econometrics of financial data |
Created in 06/03/2021 Time 00:17:24
