Courses

Spring 2023

STATISTICAL ANALYSIS AND TIME SERIES

, 3 pts, E4709

STAT ANALYSIS & TIME SERI

This graduate course is only for M.S. Program in Financial Engineering students. Empirical analysis of asset prices: heavy tails, test of the predictability of stock returns. Financial time series: ARMA, stochastic volatility, and GARCH models. Regression models: linear regression and test of CAPM, non-linear regression and fitting of term structures.

Section Number
001
Call Number
11638
Day, Time & Location
MW 2:40PM-3:55PM 614 Schermerhorn Hall [SCH]
Instructor
Fabrizio Lecci
Open in Vergil