<p>Lecture, three hours. Requisite: course 264A. Designed for graduate students. Applications of time-series methods to analysis of asset prices: general method of moments, vector autoregressions, and maximum likelihood estimation. Restrictions imposed by no-arbitrage on time series of returns. Empirical implications of macroeconomic models for asset prices. Response of asset prices to shocks. Incomplete markets. S/U or letter grading.</p>

Economics

Combining rigorous, inclusive pedagogy with opportunities for co-curricular activities—including research, internships, and community engagement—the College provides students with diverse learning experiences that helps them thrive, become critical thinkers, and transform society.

College of Letters and Science

The department conducts cutting-edge research by developing and applying new methodologies to understand society's most critical issues and trains future generations of economic leaders.

General Catalog

Econometrics of Asset Prices

ECON264D

4 units