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Description:	This course introduces students to the methods most commonly used in empirical finance.
Topics:	Time series analysis: standard univariate and multivariate time series models, tests for random walk behavior, tests for mean reversion, tests for long-range dependence. Volatility modeling: univariate ARCH and GARCH models, long memory GARCH, multivariate GARCH. Simulation Methods: Monte Carlo simulations; Bootstrapping. Asset return predictability. Factor models for asset returns: theory-based linear factor models (CAPM, APT etc), statistical factor model based on principal components, tests of asset pricing theories. High frequency financial data: modeling bid and ask prices, modeling transactions data
Teaching:	56 hours during third semester