Indiana University Bloomington

Economics E724
Topic: Financial Econometrics

Contact: joon
Offered: Spring, Every Year
Capacity: 15
Sequence: N/A
Pre-Requisites: E571 Econometrics I, E572 Econometrics II, E671 Econometrics III, E672 Macroeconometrics
Algebra Required: Assumed, but not much used
Calculus Required: Assumed
Contact Person for Authorization: Consent of instructor
Instructor: Joon Y. Park
Days Per Week Offered: 1 day a week for the whole semester, or 2 days a week for the first half of the semester
Recommended follow-up classes: N/A
Syllabus: Download Syllabus
Keywords: Research topics, Stochastic processes, continuous time models, high frequency observations, asymptotics
Description: The objective of this course is to prepare the Ph.D. students for their dissertation research in the area of financial econometrics and time series used in the analysis of macroeconomics and finance
Books: Taught roughly at the level of the standard graduate textbook by Karatzas and Shreve on Brownian motion and stochastic calculus
Substantive Orientation: Finance, and students in other departments and schools such as Mathematics, Statistics, SPEA, HYPER and Informatics interested in the analysis of financial and macroeconomic data
Statistical Orientation: Classical, but also introduces the MCMC method to analyze Bayesian models
Applied/Theoretical: Mostly theoretical, but students are encouraged to do some applied projects using the techniques they learn from the course
Software: MatLab
How Software is Used: Simulations and data analysis
Problem Sets: Weekly or bi-weekly problem sets
Data Analysis: Optional applied project
Presentation: Optional project, no class presentation
Exams: One in class midterm and take home final