uwloo

STAT 974Financial Econometrics

Units
0.50
Level
Graduate
Faculty
Mathematics
Subject
Statistics
Cross-listed
ACTSC 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 001629314 / 25MW 11:30–12:50

Discussed on r/uwaterloo

3 posts and comments in 3 threads mention STAT 974, August 2016 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

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

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

u/Jackhofmann: “… STAT 841 STAT 842 STAT 845 STAT 850 STAT 901 STAT 906 STAT 931 STAT 932 STAT 946 STAT 947 STAT 974 STV 100 STV 202 STV 203 STV 400 SUSM 601 SUSM 602 SUSM 620 SUSM 675 SWK 600R SWK 602R SWK 604R SWK 610R SWK 690R SWREN 120R SWREN 220R SWREN 221R SWREN 222R SWREN 224R SWREN 250R …”

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Spring 2016

Check it elsewhere for Fall 2026

Calendar versions

Graduate Calendar

Older Graduate Calendars

In 30 terms, Fall 2010 to Winter 2024