Course Details

Asset Pricing III
FINC-585-3
1.0 CR
PASS / NO CREDIT
No
DESCRIPTION
This course covers topics in the empirical asset pricing literature with an emphasis on recent developments. Topics include: Latent factor models; GMM theory and applications in finance; return predictability; performance evaluation; affine asset pricing models; Estimation of asset risk premia; estimation of volatility and jump risks from low/high frequency data; empirical derivatives pricing using parametric and nonparametric methods.
PREREQUISITES
None
CONCURRENT
None