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New York University Polytechnic School of Engineering    
 
    
 
  Feb 20, 2018
 
2013-2014 Undergraduate and Graduate Bulletin (with addenda) [ARCHIVED CATALOG]

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FRE-GY 6091 Financial Econometrics

1.5 Credits
This course focuses on the art and science of statistical modeling of processes applied to business, finance and economics. These may include models of aggregate economic activity, economic behavior of firm or behavior of financial assets. Topics include statistical inference; maximum likelihood estimation; method of moments; Bayesian estimation; least-squares estimation; robust estimation; kernel estimation; copula estimation; analysis of variance; linear regression models; multiple regression; logistic regression; quantile regression; time series estimation; unit root tests; bootstrapping.

Prerequisite(s): FRE-GY 6083 . Students are expected to know basic statistics, and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department.
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0



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