Jan 23, 2020  
College Catalog 2019-2020 
    
College Catalog 2019-2020

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.  This course counts as a Group E elective and the capstone requirement. Prerequisite(s): ECON 356  and ECON 381 , MATH 135  (or MATH 137 ) and MATH 236 . C- or higher required for all prerequisites. Offered every other year. (4 Credits)