STATISTICAL ANALYSIS AND TIME SERIES

3.00 points · University catalogue

Lect: 3. Corequisites: IEOR E4706 , IEOR E4707 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.