Financial Econometrics

This module is designed to provide students with vigorous training in applied financial econometrics. It covers topics on characteristics of macroeconomic and financial data; basic concepts of linear and non-linear time series models: stationary time series models, ARMA models; stochastic volatility models; GARCH models and diagnostic tests; value at risk analysis; and multivariate conditional time-varying models. Students are expected to do several computer based projects.

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