ECON 485 - Empirical Finance

This class concentrates on applying econometric techniques and computer programming to empirically test major financial theories. The econometric techniques used in the class include but is not restricted to OLS, GLS, GMM, Maximum Likelihood method, Nonparametric method, panel data models (random effect model, fixed effect model, pooled regression, etc.), time series models (VAR, ARMA, ARMAX, GARCH, etc.). Main programming language used in the class is Matlab, while R and STATA may also be used occasionally. Major finance topics tested in the class include market efficiency, portfolio theory, stock selection models, market microstructure, anomalies in the financial markets, calendar effects, etc. Prerequisite(s): ECON 356 and ECON 381, MATH 135 (or MATH 137) and MATH 236, and COMP 121 Offered every other year. (4 Credits)