Time Schedule:
Eric W Zivot
ECON 512
Seattle Campus
Seminar in advanced macrotheory. Selected topics of special interest and significance.
Class description
This is a research seminar course in financial econometrics. The focus will be on the statistical modeling of financial time series (asset prices and returns). Topics to be covered include
· Distribution and dynamic behavior of asset returns
o Non-Gaussian distributions, extreme value theory and copulas
o Return predictability
o Applications to risk management
· Volatility modeling
o Autoregressive conditional heteroskedasticity (ARCH) family of models
o Stochastic volatility models
o Applications to risk management and derivatives pricing
· Ultra high frequency time series
o Market microstructure models
o Realized variance, covariance and bi-power variation
o Applications to volatility modeling and market microstructure models
· Continuous time models
o Simulation and estimation of stochastic differential equations (diffusion models)
o Applications to derivatives pricing
Student learning goals
General method of instruction
Recommended preparation
Class assignments and grading
