Sep 29, 2023  
2018-2019 Graduate Catalog 
2018-2019 Graduate Catalog [ARCHIVED CATALOG]

BUSADM 723 - Time Series Analysis of Financial Data

3 Credit(s)

The emphasis of this course will be to introduce students to time series data in financial accounting and finance. The course introduces the students to a variety of econometric techniques and the latest developments in the area of financial econometrics and quantitative finance. Topics include maximum likelihood, generalized method of moments, extremum estimators, selected topics in time series analysis, limited dependent variable model, nonparametric kernel estimators, predictability of asset returns, univariate and multivariate volatility modeling, estimation of dynamic equilibrium models, estimation and inference in continuous-time models, and Value at Risk models.