BUS386 - Financial Econometrics

3 hr., 3 credits
The course will introduce students to methods of empirical analysis of financial markets. It will cover modern statistical and econometric techniques necessary for both professional and academic quantitative research in finance. Particular emphasis will be placed on measuring risk of holding and trading financial assets. Topics include: autoregressive and moving average models, ARCH, GARCH, analysis of high frequency intraday financial data.
Prerequisites: ECON 382 or BUS 384; and MATH 241 or permission by the instructor.