| Call Number | 14644 |
|---|---|
| Day & Time Location |
MW 10:10am-11:25am To be announced |
| Points | 3 |
| Grading Mode | Standard |
| Approvals Required | None |
| Instructor | Agostino Capponi |
| Type | LECTURE |
| Method of Instruction | In-Person |
| Course Description | 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. |
| Web Site | Vergil |
| Department | Industrial Engineering and Operations Research |
| Enrollment | 96 students (140 max) as of 6:06PM Thursday, January 2, 2025 |
| Subject | Industrial Engineering and Operations Research |
| Number | E4709 |
| Section | 001 |
| Division | School of Engineering and Applied Science: Graduate |
| Open To | Engineering:Undergraduate, Engineering:Graduate |
| Section key | 20251IEOR4709E001 |