MS6601 - Statistical Modelling in Economics and Finance | ||||||||||||
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| * 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 | ||||||||||||
| MS6601.pdf | ||||||||||||
Useful Links | ||||||||||||
| Department of Management Sciences | ||||||||||||
