Empirical Asset Pricing
Instructor: Daniele Massacci (University of Surrey & EIEF)
- February 13 (2-4pm), 17 (11am-1pm), 20 (2-4pm), 24 (11am-1pm), 27 (2-4pm), March 2 (11am-1pm), 5 (3-5pm), 15, 16, 20 (11am-1pm)
General introduction. Empirical models of stock returns: linear models; nonlinear models (threshold, smooth transition, Markov-switching, and structural break models); quantiles regression. Volatility. Extreme value dependence. Contagion. Stock returns predictability. Asset allocation.
Syllabus