Regression and Applied Time Series
Statistical Analysis of financial data: Density estimation, heavy tail distributions and dependence. Regression: linear, nonlinear, nonparametric. Time series analysis: classical models (AR, MA, ARMA, ..), state space systems and filtering, and stochastic volatility models (ARCH, GARCH, ....).
Sample reading list:
R.A. Carmona, Statistical Analysis of Financial Data in S-Plus
Ngai, Han, Chan, Time Series: Applications to Finance
Homework consisting of a problem set and some reading. Approximately four hours work.
Mid Term Exam - 30%
Final Exam - 50%
Problem set(s) - 20%
Not Open to Freshmen.
Prerequisites and Restrictions:
ORF 245 and MAT 202.
MFin students should enroll in ORF 505
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