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Financial Econometrics

ORF 504/FIN 504

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Econometric and statistical methods as applied to finance. Topics include: Asset returns and efficient markets, linear time series and dynamics of returns, volatility models, multivariate time series, efficient portolios and CAPM, multifactor pricing models, portfolio allocation and risk assessment, intertemporal equilibrium models, present value models, simulation methods for financial derivatives, econometrics of continuous time finance.