IEORE4709 Statistical Analysis and Time Series

Instructor: Agostino Capponi

3 pts. Lect: 3. Probability. This course is for graduate students in Financial Engineering only. This course covers the following topics: Black-Litterman asset pricing model; empirical analysis of asset prices: heavy tails, test of the predictability of stock returns; financial time series: ARMA, stochastic volatility, and GARCH models. Stationary tests; inference for continuous-time models, Bayesian MCMC; time series regression and empirical test of CAPM.

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