FINANCE 632:
Empirical Dynamic Asset Pricing
This course explores the interplay between dynamic asset pricing theory, statistical assumptions about sources of risk, and the choice of econometric methods for analysis of asset return data. Therefore, the lectures will be a blend of theory, econometric method, and critical review of empirical studies. Both arbitragefree and equilibrium preferencebased pricing models will be discussed, with particular emphasis given to recent developments and outstanding puzzles in the literature. The prerequisites for F632 are MGTECON 603  604, Finance 620, Finance 622, and Finance 625. In particular, I will assume familiarity with dynamic asset pricing theory, at the level of F622; and largesample theory for leastsquares, generalized methodofmoments, and maximum likelihood estimation methods. We will review these methods in the context of specific applications, but this material will not be developed in depth.
Units: 3

Grading: GSB Letter Graded