Econometrics II is the follow-up course to Econometrics I, which mainly focuseson financial time series analysis. The course paves the way for the application of financial principles and theories in reality, and sets a fundamental background for other high-level courses in the finance major.
The main contents of course are basics of time series analysis, univariate time series models, vector autoregression (VAR) models, cointegration analysis, and univariate GARCH models.
The course will be useful as an application of time series analysis for senior undergraduate and graduate students in finance major, who are interested in financial econometrics.