Introduces the Generalized Method of Moments (GMM), a versatile approach for estimation based on moment restrictions, with applications in asset pricing models.
Explores heteroskedasticity and autocorrelation in econometrics, covering implications, applications, testing methods, and hypothesis testing consequences.
Introduces the Generalized Method of Moments (GMM) in econometrics, focusing on its application in instrumental variable estimation and asset pricing models.
Introduces the FIN-403 Econometrics course, emphasizing practical application of standard econometric models like Ordinary Least Squares (OLS) in economic and financial contexts.
Explores supervised learning in financial econometrics, covering linear regression, model fitting, potential problems, basis functions, subset selection, cross-validation, regularization, and random forests.
