Subject: Subject Sylbus: Financial Econometrics - 096588

Financial Econometrics - 096588
Will not be given the year
Credit
Points
3.5
 
  Lecture Exercise Laboratory Project or
Seminar
House
Work
Weekly
Hours
3 1      

Determination of the grade according to progress during the semester and a final examination.


Prerequisites: ( Capital Markets and Investments 094566
and Econometrics 096586 )
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
PublishedPublisherAuthorsBook
1997princeton university presslo et althe econometrics of financial data

Created in 06/03/2021 Time 00:17:24