15.442 Advanced Financial Economics III


Class Info

Recent empirical methods in finance, including: the estimation and testing of market efficiency; the random walk hypothesis; the CAPM/APT; various term structure models; option pricing theories; and market microstructures; performance evaluation; bond rating and default analysis; event study methodology; continuous-time econometrics; and general time series methods. An empirical term project is required. Some econometric background and rudimentary computer programming skills are assumed. Primarily for doctoral students in finance, accounting, and economics.

This class has 14.382, and 15.416J as prerequisites.

15.442 will not be offered this semester. It will be available in the Fall semester.

Lecture occurs 2:30 PM to 4:00 PM on Tuesdays and Thursdays in E62-687.

This class counts for a total of 12 credits.

In the Spring 2016 Subject Evaluations, 15.442 was rated 7.0 out of 7.0. You can find more information at the 15.442 Class Site site or on the 15.442 Stellar site.

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