EMPIR METHODS FIN METRICS

ECON 872

Focus is on understanding and applying principal results with emphasis on substantive applications. Topics generally include jump diffusions, semi-martingales, jump-robust volatility estimation, realized beta, jump regressions, local volatility estimation, diffusive beta, and measurement error (noise). Paired with Economics 672. PhD students will be required to do additional work. Instructor: Tauchen

Day / Time: 

MW 04:40 PM-05:55 PM

Location: 

Languages 312

Instructor: 

Tauchen, George

Section: 

01