uwloo

ACTSC 974Financial Econometrics

Units
0.50
Level
Graduate
Faculty
Mathematics
Subject
Actuarial Science
Cross-listed
STAT 974

When it runs

  1. F24
  2. W25
  3. S25
  4. F25
  5. W26
  6. S26
  7. F26
  8. W27
  9. S27

Ran in 3 of the last 7 terms. Winter 2027: not on the schedule. Spring 2027: schedule not out yet.

The focus of this course is on the statistical modelling, estimation and inference and forecasting of nonlinear financial time series, with a special emphasis on volatility and correlation of asset prices and returns. Topics to be covered normally include: review on distribution and dynamic behaviour of financial time series, univariate and multivariate GARCH processes, long-memory time-series processes, stochastic volatility models, modelling of extreme values, copulas, realized volatility and correlation modelling for ultra high frequency data and continuous time models.

Prerequisites

None listed.

Antirequisites

None listed.

Leads to

No course lists it as a requisite.

Fall 2026 sections

Enrolment from UW Open Data, which can trail Quest by up to two days. Instructors and rooms: Schedule of Classes.
SectionClassEnrolledMeets
LEC 001629218 / 23MW 11:30–12:50

Discussed on r/uwaterloo

4 posts and comments in 3 threads mention ACTSC 974, October 2017 to December 2024. Quoted word for word, newest first; each reply sits under the post and the comment that started its branch. Search r/uwaterloo for newer posts.

Spring 2018

Anyone doing grad studies? 2 points, 21 comments

“I feel like I should have more of an idea as to what I'm doing but honestly I have no idea what to expect or how to prepare. Anyone in a similar situation?”

u/n3b3l: “henlo am in grad school what do u want to know”

u/n3b3l: “… He teaches ACTSC974/STAT974: Financial Econometrics which is a really hard class IMO. My bf took it and said its really useful for finance and really interesting but I can't make heads or tails of the content. …”

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Fall 2017

PSA: UWCourseLinker back up, disabled by default, call with [[course code]] 39 points, 31 comments

u/RayDWatson: “… [[ACTSC965]] [[ACTSC966]] [[ACTSC970]] [[ACTSC971]] [[ACTSC972]] [[ACTSC973]] [[ACTSC974]] [[ACTSC980]] [[ACTSC991]] [[ACTSC992]] [[ADMGT601]] [[ADMGT602]] [[ADMGT603]] [[ADMGT604]] [[ADMGT605]] [[ADMGT606]] [[AFM101]] [[AFM102]] [[AFM121]] [[AFM123]] [[AFM131]] [[AFM201]] …”

u/UWCourseLinker: “… - Finance 1 ACTSC 971 - Finance 2 ACTSC 972 - Finance 3 ACTSC 973 - Portfolio Optimization ACTSC 974 - Financial Econometrics ACTSC 980 - Social Insurance ACTSC 991 - Topics in Actuarial Science ACTSC 992 - Seminar in Actuarial Science ADMGT 601 - Introduction to Financial and …”

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Any way to disable UWCourseLinker from posting? 16 points, 26 comments

“posting a reply to my comment I find the bot annoying.”

u/Jackhofmann: “PSYCH 483 PSYCH 484 PSYCH 485 PSYCH 486 PSYCH 490R PSYCH 499A PSYCH 499B PSYCH 499C PSYCH 621 PSYCH 630 PSYCH 677A PSYCH 704A PSYCH 704B PSYCH 707 PSYCH 710 PSYCH 714 PSYCH 717 PSYCH 720A PSYCH 721A …”

u/Jackhofmann: “… ACTSC 611 ACTSC 612 ACTSC 613 ACTSC 614 ACTSC 615 ACTSC 845 ACTSC 846 ACTSC 970 ACTSC 972 ACTSC 974 ACTSC 991 AFM 101 AFM 102 AFM 123 AFM 131 AFM 202 AFM 203 AFM 204 AFM 231 AFM 272 AFM 273 AFM 291 AFM 321 AFM 323 AFM 328 AFM 329 AFM 333 AFM 341 AFM 344 AFM 362 AFM 373 AFM 391 …”

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Check it elsewhere for Fall 2026

Calendar versions

Graduate Calendar

Older Graduate Calendars

In 30 terms, Fall 2010 to Winter 2024