Financial Econometrics

After completing this course, students are expected to: (1) comprehend a coherent picture of financial econometrics and its relation to empirical finance literature, (2) be able to implement methods in financial econometrics in empirical finance, (3) replicate empirical finance research in an area of their choice. Financial econometrics is a course that covers some essential tools for working with financial data, including the econometrics of asset pricing, return forecasting, volatility and measuring risk. This course assumes a basic understanding of both basic cross-section and time-series models; accordingly, only a limited background of models will be provided where essential. This course will cover the tools of financial econometrics and empirical finance with a moderate degree of sophistication, and apply new direction in econometrics practices.

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