Course Catalog and Schedule
Econometrics of Financial Markets (FINC-488-0)
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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Econometrics of Financial Markets
Mon 09:00 AM - 12:30 PM
Kellogg School of Management
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