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Instructor Class Description

Time Schedule:

Eric W Zivot
ECON 589
Seattle Campus

Financial Econometrics

Focuses on statistical modeling of financial time series with an emphasis on modeling volatility and correlation. Topics include statistical properties of asset returns, volatility and correlation modeling, statistical analysis of ultra high frequency time series, and estimation of continuous time models for asset returns. Prerequisite: ECON 583; either ECON 584 or STAT 519.

Class description

This is a course in financial econometrics with an emphasis on the concepts, techniques and tools required for quantitative risk management. The focus will be on the statistical modeling of financial time series (asset prices and returns) with an emphasis on modeling volatility and correlation for quantitative risk management. The learning goals/objectives of the course are to (1) survey the relevant theoretical and practical literature; (2) introduce state-of-the-art techniques for modeling financial time series and managing financial risk; (3) use the open source R statistical software to get hands-on experience with real world data.

Student learning goals

General method of instruction

Recommended preparation

Class assignments and grading


The information above is intended to be helpful in choosing courses. Because the instructor may further develop his/her plans for this course, its characteristics are subject to change without notice. In most cases, the official course syllabus will be distributed on the first day of class.
Last Update by Eric W Zivot
Date: 03/26/2013