This course introduces students to econometric and empirical 
methodologies used in financial research. The primary aim of 
the course is to prepare students to conduct rigorous, original 
empirical research in finance and related fields. The course 
reviews relevant econometric methodology and incorporates 
assignments and research projects involving application of 
techniques to actual data. Students gain exposure to software 
used to execute empirical analyses in finance. In addition to 
standard methods, the course introduces a selected set of 
recently developed, “cutting edge” techniques. Covered topics 
include methods relevant to both asset pricing and corporate 
finance.

1.Review of Key Econometrics Results
2.Financial Time Series and Linear Time Series Analysis
3.Volatility Modeling
4.Dynamic Regression Models and Predictive Regressions in 
Finance
5.Multivariate Time Series Analysis and Financial Applications
6.State-space Models, Filtering, and Related Topics
7.Testing and Evaluating Asset Pricing Models
8.Linear Panel Data Models in Finance
9.Event Study Methodology
10.Endogeneity in Empirical Corporate Finance
11.Additional Selected Topics