FINANCIAL ECONOMETRICS

Section

Professor

Yan Jin

Course Information

Prerequisites: SIEO W3600 or W4150 or the equivalent and knowledge of Matlab. Econometric analysis of financial markets. Linear regression and ARCH models; principle component, canonical correlation, and Bayesian analysis of financial time series.

Department: Industrial Engineering and Operations Research(IEOR)

Subject: Industrial Engineering and Operations Research(IEOR)

School: Fu Foundation School of Engineering and Applied Science

Division: School of Engineering and Applied Science: Graduate

Course ID: 4702