|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.|
|See course web page for additional information: http://faculty.chicagobooth.edu/jeffrey.russell/teaching/finecon/|
|Homework, midterm, and final exam. No provisional grades.|
|Business 41000, 41100 or instructor consent.
Description and/or course criteria last updated: 06/2013
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