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Financial
Econometrics
The field of financial
econometrics encompasses topics in modern asset pricing, computational
general equilibrium, and the microeconomic structure of financial
markets. The dissertation can be theoretical, methodological,
or empirical. Students tailor a program from the UNC courses
listed below to suit their own interests. Offerings from Duke
may be substituted or appended to the list below with the approval
of the dissertation advisor.
Faculty:
- Evan
W. Anderson, Assistant Professor
- A.
Ronald Gallant, Henry A. Latane Distinguished Professor
of Economics and Adjunct Professor of Statistics
- Eric
Ghysels, Edward M. Bernstein Distinguished Professor of
Economics and Professor of Finance in the Kenan-Flagler Business
School
- Chao
Wei, Assistant Professor
Courses:
Nine courses are required
for specialization in this graduate field in the three areas of
econometrics, statistics and finance. The requirements can
be summarized as:
1. Econometrics:
- ECON 271
Introduction to Econometric Theory
- ECON 274
Time Series Econometrics
- and one other econometrics
course
2. Statistics:
- STAT 154
Measure and Integration
- STAT 155
Probability
- STAT 236
Stochastic Analysis
3. Finance:
- BUSI 387
Quantitative Methods in Finance
- and two other courses
For the final econometrics
course, ECON 273 (Econometrics) is a logical candidate. The
two remaining courses in finance can be taken from the following list.
- STAT 311
Introduction to Stochastic Option Pricing Theory
- ECON 386
Introduction to Empirical Finance
- ECON 388
Advanced Topics in Empirical Finance
- BUSI 399X
Market Micro-structure and Information Economics
- BUSI 299
Derivatives
Field
examination:
The field exam
requirement will be fulfilled by a research paper supervised by
one of the core faculty in this field.
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