Data-driven Financial and Risk Econometrics

Course Description

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 cointegration. Risk measures, models and analytics. 

Course Details

  • Grading Basis: Letter Grade or Credit/No Credit
  • Unit-Range Information: The amount of workload is monitored by the instructor, and it will increase or decrease relative to the number of units undertaken. Students are expected to attend all class/discussion sessions and perform work in proportion to the number of units in which they have enrolled (students often take only the number of units they need to fulfill a degree requirement).
  • Intensive Studies: This course is offered as part of the International Management Intensive and must be taken for 4 units. See the Intensive Studies page for more information on how to receive an official Document of Completion.


Or corequisite of STATS 240 or equivalent

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