Econometrics-ECON 608
The objective of the course is to allow students to be familiar with methods of conventional econometric modeling in the context of financial market data and diagnostic testing procedures. By the end of the course students will be able to i) formulate econometric models suitable for financial analysis, select appropriate methods of estimation and interpret the obtained results; ii) understand the principles of time series ARIMA modeling and evaluate their ability to forecast financial variables, iii) implement the Vector Autoregressive (VAR) models and the cointegration relationships in finance, and interpret the results; iv) understand the family of ARCH-GARCH models and be able to display volatility patterns by applying them to financial data; and v) implement the panel data models and their applications in finance.