This course covers time-series econometrics for first-year, finance PhD and MSFE students. We will start by reviewing basic time series concepts and the asymptotic distribution theory associated with estimating well behaved time series models. We will primarily cover ARMA models and vector autoregressions. Estimation techniques such as the generalized method of moments and maximum likelihood will be discussed. We will then cover non-stationary time series including unit root econometrics and cointegration. We will finish with an introduction to volatility models, regime switching models, and other non-linear models, but that lecture will be non-mandatory
Division: Finance

Spring 2025


B9325 - 001

Spring 2024


B9325 - 001