Spring 2025
STATISTICAL ANALYSIS AND TIME SERIES
, 3 pts, E4709STATISTICAL ANALYSIS & TIME SE
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.
STATISTICAL ANALYSIS & TIME SE
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
- 14644
- Day, Time & Location
- MW 10:10AM-11:25AM
- Instructor
- Agostino Capponi