Courses / Statistics / 4 units / STATS 241: Data-driven Financial and Risk Econometrics
 

Data-driven Financial and Risk Econometrics

STATS 241
4 units
June 26 - August 19, 2017

Substantive and empirical modeling approaches in options, interest rate, and credit markets. Nonlinear least squares, logistic regression and generalized linear models. Nonparametric regression and model selection. Multivariate time series modeling and forecasting. Vector autoregressive models and co-integration. Risk measures, models and analytics. 

Prerequisite

Prerequisite or co-requisite: STATS 240 or equivalent.

Notes

241 and 241P are crosslisted. 241P is for SCPD students only.

Syllabus

Not Available