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

Eric Ghysels, Edward M. Bernstein Distinguished Professor of Economics and Professor of Finance in the Kenan-Flagler Business School

Eric Renault, Henry A Latane Distinguished Professor of Economics

Courses

Nine courses are required for specialization in this graduate field in the three areas of econometrics, statistics and finance. We encourage students to take additional courses. The courses listed below represent the minimal requirements. The requirements can be summarized as:

1. Econometrics:

ECON 770 (271) Introduction to Econometric Theory
ECON 771 (272) Econometrics
ECON 870 (273) Advanced Econometrics
ECON 871 (274) Time Series Econometrics

2. Statistics:

STAT 634 (154) Measure and Integration
STAT 635 (155) Probability
STAT 836 (236) Stochastic Analysis

3. Finance:

BUSI 887 (387) Quantitative Methods in Finance
ECON 890 (399) Foundations for Continuous Time Asset Pricing

Field examination:

Students write a proposal by May 15th of their second year which will be reviewed by a committee. Upon approval by the committee the field exam requirement will be fulfilled by a research paper supervised by one of the core faculty in this field.

Graduate Program Home Page

Last edited 4/11/2006