Course Catalog and Schedule

Econometrics of Financial Markets (FINC-488-0)
1.00 Credit
TCE BidStats

This course will cover topics in the empirical capital markets literature and related econometric methods. The topics will include stock return predictability and asset pricing anomalies; factor models in large cross sections; portfolio performance evaluation and attribution; and initial public offerings. The econometric methods will include GMM and applications that illustrate the use of instruments to address simultaneity, endogeneity, and measurement errors, use of GMM in event studies, maximum likelihood methods, multifractal and hidden Markov models that facilitate parsimonious modeling of stochastic processes of interest. Course grade will be based on homeworks, class presentation, and a final exam.


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Academic Year Term   Session Course ID Title Sec ID   Credits Syl Instructor Times Campus Location Mand 1st Exam
2014-2015 Winter 2015 10 Weeks FINC-488-0 Econometrics of Financial Markets 21 1 Jagannathan, Ravi Mon 3:00 PM - 6:00 PM Evanston Jacobs (4214) N