ECON 264C

Main Course

Asset Prices, Forecasting, and Learning

Description

Lecture, three hours. Requisite: course 264A. Designed for graduate students. Introduction to forecasting methods and applications to asset pricing. Signal-extraction under different uncertainty specifications. Kalman filtering and forecasting. Robust filtering and forecasting. Models of behavioral finance. Stylized facts on forecasts and asset pricing anomalies: short-term momentum and long-term reversals of returns. Option pricing anomalies. S/U or letter grading.

Prerequisites

• Required: ECON 264A

  Plan

  Taken?