Excerpt from course description

Financial Econometrics


Financial Econometrics is designed to help students understand and apply statistical techniques to financial data. Students will gain valuable analytical and programming skills that will enhance their ability to conduct research and perform financial analysis in industry settings. The course will center on linear regression, which is the most commonly used statistical technique in finance. It will provide a strong foundation for anyone interested in pursuing a quantitative role in the financial sector.

Course content

1. Review of the mathematical and statistical foundations of financial econometrics.

2. Overview of the collection, transformation, and interpretation of financial data.

3. The capital asset pricing model (CAPM), which will be used in econometric exercises throughout the course.

4. Linear regression and its extensions, which form the foundation of financial econometrics.

5. Diagnostic tests for problems in linear regression.


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