Financial Econometrics

Instructor: 
Time I: 
Thursday, 03:45pm
Description: 

The lecture deals with the statistical properties of financial market data and econometric methods that can be used to analyze these data. We will study procedures to test for the efficient market hypothesis and become familiar with methods to model the mean and the volatility of financial data series. Besides the application of nonparametric and classical test procedures, the focus will be on time series methods and models. In particular, ARMA and GARCH models will be covered.

Credits: 
9.00
Affiliation: 
Humboldt-Universität zu Berlin