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MS6217 - Statistical Modelling in Economics and Finance

Offering Academic Unit
Department of Management Sciences
Credit Units
3
Course Duration
One semester
Pre-cursor(s)
Course Offering Term*:
Not offering in current academic year

* The offering term is subject to change without prior notice
 
Course Aims

The goal of the class is to introduce financial econometrics: the intersection of statistics and asset pricing. We will cover a wide range of topics, including linear and nonlinear time series, volatility modeling, multivariate time series, and factor models. Particularly, we will discuss how factor-based investing and machine learning are employed in the investment industry. The prerequisites include one course in probability and statistics, one course in regression analysis, and basic knowledge in time series models. Students are expected to work at least 5 hours after every lecture.


Assessment (Indicative only, please check the detailed course information)

Continuous Assessment: 100%
 
Detailed Course Information

MS6217.pdf

Useful Links

Department of Management Sciences