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Graduate Programs

ECO3401H1F: Advanced Econometrics, Fall 2019

This course will present the factor models in both a static and a dynamic framework.This includes the Singular Value Decomposition(SVD)in the static case as well as the state space modelling of dynamic factor models,and their extensions for large number of observed variables or individuals.Among the applications, the granularity adjustment required in the new Basel 2 regulation for credit risk will be completely derived.

Section L0101

Instructor(s): Christian Gourieroux
Day/time: W11-1
Location: GE100
Last updated on July 14, 2022