Time Series for Financial Analysis
Theoretical/empirical tools & techniques in financial econometrics for modeling conditional distributions in discrete time. Topics include modeling conditional mean through ARMA models, variance through GARCH models, and exploring alternative distributions to capture conditional asymmetry and fat tails. Models used in finance to measure value-at-risk of portfolios, price European options & forecast term structure of interest rates. Individual research projects will advance overall understanding of conditional density modeling/testing, with possibility of continuing as senior honors thesis. Pre-requisites: Economics 208D and one 300-level, or higher, Economics finance elective. One course.