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Apr 23, 2024
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2013-2014 Undergraduate and Graduate Catalog (without addenda) [ARCHIVED CATALOG]
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FRE 6031 Money, Banking and Financial Markets1.5 Credits
Financial econometrics has matured into an important and necessary field, providing an opportunity to deal with practical problems in finance. For example, techniques such as ARCH and GARCH and their subsequent development are used to estimate the volatility of underlying financial processes; the analysis of intra-day trading data requires particular mathematic techniques; memory-based and persistent stochastic processes can be used for algorithmic trading and detecting markets incompleteness; and copulas are now applied routinely to model and estimate dependent risks. These financial and risk problems require the application of advanced financial-econometric techniques, which the course provides from theoretical and empirical-applied viewpoints. Selected cases provide a real-world sense of financial engineering when it is faced with financial-market reality and complexity.
Prerequisite(s): Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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