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1 - 2 of 2 results for: MGTECON 604

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 arbitrage-free and equilibrium preference-based 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 large-sample theory for least-squares, generalized method-of-moments, 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.
Terms: Spr | Units: 3

MGTECON 604: Econometric Methods II

This course presents a comprehensive treatment of econometric methods used in economics, finance, marketing, and other management disciplines. Among the topics covered are: the classical linear regression analysis, linear simultaneous equations systems and instrumental variables techniques, panel data models, generalized method of moments, selection models, and limited dependent variable models. This course uses Matlab or similar computational software, but previous experience with such software is not a prerequisite. This course assumes working knowledge of undergraduate econometrics, basic linear algebra, basic probability theory, and statistics that are covered in MGTECON 603. Those who did not take MGTECON 603 or similar should see the instructor.
Terms: Win | Units: 4
Instructors: Imbens, G. (PI)
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