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Graduate Programs

ECO2402H1F Advanced Econometrics (PhD)

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, Fall 2009–10

Instructor: Christian Gourieroux
Day/time: R 9-11
Location: GE 100