| Call Number | 11638 |
|---|---|
| Day & Time Location |
MW 2:40pm-3:55pm 614 Schermerhorn Hall [SCH] |
| Points | 3 |
| Grading Mode | Standard |
| Approvals Required | None |
| Instructor | Fabrizio Lecci |
| 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 | 95 students (120 max) as of 8:08PM Thursday, April 25, 2024 |
| 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 | 20231IEOR4709E001 |