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Konstantin Tyurin Assistant Professor, Indiana University Ph.D., Economics, Yale University My CV (Acrobat PDF format) My CV (Microsoft Word format) |
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E571 Econometrics I: Statistical Foundations
Time: 5:30-6:45 pm MW
This course covers topics in probability theory and statistics that must be a working
knowledge of modern economists. At least one year of multivariate calculus is an absolute
prerequisite for this class. Familiarity with the basic concepts of probability, statistics,
and matrix algebra would be extremely helpful, even though no additional background beyond
multivariate calculus is assumed.
E490/E501 Introduction to Financial Econometrics
Time: 1:00-2:15 pm MW
This is an introductory course in empirical finance. It focuses on the applications of
statistics and probability to finance. Topics include analysis of statistical properties and
prediction of financial returns and other attributes of investments, data mining, modeling of
volatility and stock market crashes, and short- and long-term portfolio management. The choice
of statistical methods, which include univariate ARMA and GARCH models, linear and nonlinear
regressions, factor analysis, and some simulation-based techniques, is motivated by their
relative simplicity and popularity among quantitative financial analysts working in the
industry. By the end of semester students are expected to complete and present in class an
empirical project of their choice that requires essential application of econometrics to
financial data. The course is aimed primarily at master level students in economics,
mathematical finance, applied mathematics, and other quantitative fields, as well as
undergraduate students with strong quantitative skills. All students taking this class should
be comfortable with calculus, basic matrix algebra, and introductory statistics (including the
simple linear regression analysis). Prior experience with basic theory of economics and
finance is strongly recommended but not required.
Last Updated: August 28th
2005
©2004-2005, Konstantin Tyurin