ECO2411H1F Financial EconometricsThis course provides an introduction to the econometrics used in empirical finance. Topics will include parametric and nonparametric models of volatility, evaluation of asset pricing theories, and models for risk management, and transactions data. The course will emphasize estimation and inference using computer-based applications.
Section L0101, Fall 2010–11Instructor: John Maheu [course website]
Day/time: T 11-1
Location: SS 1070
TA: Yong Song