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Spring 2020 Industrial Engineering and Operations Research E4709 section 001
STATISTICAL ANALYSIS AND TIME SERIES
STATISTICAL ANALYSIS & TIME SE

Call Number 14156
Day & Time
Location
MW 11:40am-12:55pm
833 Seeley W. Mudd Building
Points 3
Grading Mode Standard
Approvals Required None
Instructor Agostino Capponi
Type LECTURE
Course Description Prerequisites: Probability. Corequisites: IEOR E4706,IEOR E4702 This graduate course is only for MS Program in FE 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, nonlinear regression and fitting of term structures.
Web Site Vergil
Department Industrial Engineering and Operations Research
Enrollment 102 students (120 max) as of 4:38PM Thursday, July 2, 2020
Subject Industrial Engineering and Operations Research
Number E4709
Section 001
Division School of Engineering and Applied Science: Graduate
Campus Morningside
Section key 20201IEOR4709E001

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SIS update 07/02/20 16:38    web update 07/02/20 18:20