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NOTE: Course information changes frequently, including Methods of Instruction. Please revisit these pages periodically for the most recent and up-to-date course information.


Spring 2022 Industrial Engineering and Operations Research E4709 section 001
STATISTICAL ANALYSIS AND TIME SERIES
STAT ANALYSIS & TIME SERI

Call Number 13472
Day & Time
Location
MW 11:40am-12:55pm
501 Northwest Corner Building
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 129 students (150 max) as of 3:13PM Friday, May 20, 2022
Subject Industrial Engineering and Operations Research
Number E4709
Section 001
Division School of Engineering and Applied Science: Graduate
Open To Engineering:Undergraduate, Engineering:Graduate
Campus Morningside
Section key 20221IEOR4709E001

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SIS update 05/20/22 15:13    web update 05/20/22 15:33