15.442 Advanced Financial Economics III
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.
15.442 will be offered this semester (Fall 2017).
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.
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