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Financial Econometrics II (ECON671)

Course description

The application of econometric methods to the characterisation of financial data, and to the estimation and testing of selected models of modern finance theory. Areas to be covered include: the statistical modelling and forecasting of financial time series, with application to share prices, exchange rates and interest rates; the specification, estimation and testing of asset pricing models including the capital asset pricing model and extensions; the modelling of volatility; practical applica...


Pre-requisites

Seminar Required

Graded, 0.5 Credit Units


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