Credits: 105.00
Description:
This course builds on the concepts covered in FRE 6091 and addresses the design, estimation and application of both univariate and multivariate time-series models that are used widely in finance and risk engineering. Financial econometric techniques such as ARCH-GARCH methods and the use of numerical techniques and simulation.
Prerequisites: FRE 6083, FRE 6091.
Additional material: FRE 6471 APPLIED FINANCIAL ECONOMETRICS.pdf