FIN 6430 - Financial Econometrics and Forecasting

Employs statistical methods to make financial analysis and forecasts. Introduction to state-of-the-art forecasting methods in finance. Students will learn to estimate forecasting models based on past values of the predicted variable(s), surveys, market information, and other economic and financial data. Fundamental concepts and procedures for forecasting discrete time series for planning and control. Methodologies to bridge the gap between theoretical financial models and the real world. Investigating the use of statistical techniques in finance not limited to regression analysis, estimation methods, autoregressive / ARIMA methods, econometric modeling, univariate and multivariate methods, linear hypothesis tests, residual analysis, indicator variables, multicollinearity, and other procedures and tools covered in empirical finance. Empirical exercises and analysis of real financial data are emphasized.

Note: Open to graduate students only.

Prerequisites/Corequisites: Prerequisites: FIN 6120

Credits: 3 hours

Restrictions: Restrictions Enrollment in MScFin program and to HCOB MBA and MSA students with MScFin program director approval and the approval of the Director of Graduate Business Programs for MBA students and MSA advisor for MSA students.