Data-driven Financial Econometrics
Financial modeling is of fundamental importance to asset allocation, pricing, trading strategies, and risk management. By introducing basic and innovative statistical modeling techniques for financial markets, this course equips students with new analytic tools to tackle rapidly changing financial markets.
STATS240P or equivalent
A conferred Bachelor’s degree with an undergraduate GPA of 3.3 or better.
- Substantive and empirical modeling approaches in options, interest rate, and credit markets
- Nonlinear least squares, logistic regression and generalized linear models
- Nonparametric regression and model selection
- Multivariate time series modeling and forecasting
- Vector autoregressive models and cointegration
- Risk measures, models and analytics
The course schedule is displayed for planning purposes – courses can be modified, changed, or cancelled. Course availability will be considered finalized on the first day of open enrollment. For quarterly enrollment dates, please refer to our graduate education section.
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