Financial Econometrics and Inference

FIN 545 - Financial Econometrics and Inference (3-0-3)

Applications of statistical methods and econometric techniques in finance problems using statistical packages. Introduction to classical linear regression model and OLS estimates, assumptions, and diagnostic tests. Univariate and multivariate time series models, modelling long-run relationships, volatility and correlations models, switching models, panel data, limited dependent variable models, and various simulation methods.