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Course Offerings

Course Evaluation Results

Course Details

Fall 2012-2013
ORF 405   Graded A-F, P/D/F, Audit

Regression and Applied Time Series

Han Liu

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

Reading/Writing assignments:
Homework consisting of a problem set and some reading. Approximately four hours work.

Mid Term Exam - 30%
Final Exam - 50%
Problem set(s) - 20%

Other Requirements:
Not Open to Freshmen.

Prerequisites and Restrictions:
ORF 245 and MAT 202.

Other information:
MFin students should enroll in ORF 505


Schedule/Classroom assignment:

Class numberSectionTimeDaysRoomEnrollmentStatus
20383 L01 01:30:00 pm - 02:50:00 pm T Th   Friend Center   008   Enrolled:49 Limit:58
20386 B01 08:30:00 pm - 09:20:00 pm M   Friend Center   108   Enrolled:33 Limit:45
20387 B02 08:30:00 pm - 09:20:00 pm T   Friend Center   109   Enrolled:16 Limit:45
P01 07:30:00 pm - 08:20:00 pm M   Friend Center   108   Enrolled:0 Limit:30
P02 07:30:00 pm - 08:20:00 pm T   Friend Center   109   Enrolled:0 Limit:30