ECON 457 - Financial Econometrics
Section: 001
Term: WN 2018
Subject: Economics (ECON)
Department: LSA Economics
Requirements & Distribution:
Waitlist Capacity:
Enforced Prerequisites:
ECON 401 and ECON 454, with a minimum grade of C in each; or graduate standing.
Advisory Prerequisites:
Students may request permission of instructor if they are taking ECON 454 concurrently or if they took ECON 452 instead of ECON 454.
This course counts toward the 60 credits of math/science required for a Bachelor of Science degree.
May not be repeated for credit.
Rackham Information:
Rackham credit requires additional work.
Primary Instructor:

The aim of the course is to equip students with a working knowledge of important econometric techniques used in macroeconomics, international finance, and financial economics. The emphasis is on understanding and learning how to apply the econometric tools used by academics and practitioners working in these and related fields. The course will be helpful for anyone interested in pursuing a graduate degree in a quantitative field, but equally helpful for students interested in working at research institutions or financial institutions. I will try to convey not only a working knowledge, but a deeper understanding of the most important tools used in applied time series analysis, their proper use and their limitations, illustrated by applications to questions arising in macroeconomics and finance. Regression analysis will be conducted primarily in matrix notation. Substantial emphasis will be placed on the development of programming skills in MATLAB (a matrix algebra program). Key prerequisites include Calc I-III and intermediate statistics. This is a very demanding course, but might prove to be the most useful course you ever took in the economics department, if former students are to be believed. The caveat is that you need to give the course your full attention.

Course Requirements:

16 graded problem sets (66%); one original research paper (33%). Active classroom participation.

Intended Audience:

Upper-level (junior and senior) economics concentrators, especially double and triple majors in economics, math, computing, actuarial science, and engineering, but also technically inclined MAE students and foreign exchange students. Students may request permission of instructor if they are taking ECON 454 concurrently or if they took ECON 452 or Econ 504 instead of ECON 454.

Class Format:

3 hours per week in lecture format.

ECON 457 - Financial Econometrics
Schedule Listing
001 (LEC)
MW 4:00PM - 5:30PM
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