Data-driven Financial 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. Prerequisite or corequisite: STATS 240 or equivalent.

Course Details

Cross-Listings: STATS 241P

Prerequisites

STATS 240 or equivalent.

Syllabus Link

None available.
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