ONLINE QIP Short Term Course on Financial Time- Series Modelling in R
15-20 February 2021
Coordinator
Dr. Wasim Ahmad
Email: wasimad@iitk.ac.in
Department of Economic Sciences
Indian Institute of Technology Kanpur
webpage: https://www.iitk.ac.in/new/wasim-ahmad
An email containing classroom joining link has been sent to all registered candidates, in case of any issue you can call to Yogi(9027621822)
Course Highlights
Time Series and Panel Data Econometrics
Multivariate time-series and structural break models, volatility modelling, panel data analysis, event-study analysis and basics of machine learning
Financial Econometrics
Asset, derivatives pricing models and portfolio optimization. Application of time-series models to bond, equities, forex, and commodities derivatives markets. The role of regularization conditions in analysing the large dataset.
Course Schedule
| Day |
Session-1 (10:00 AM - 11:00 AM) |
Session-2 (11:30 AM - 01:00 PM) |
Session-3 (02:00 PM - 03:30 PM) |
Session-4 (04:00 PM - 05:30 PM) |
|---|---|---|---|---|
| 15th February | Inauguration | Introduction to R and basics of regression and hands-on session | Text mining and sentiment analysis | Practical session and discussion |
| 16th February | Introduction to Time-Series and Multivariate Time-Series Models | Introduction to Time-Series and Multivariate Time-Series Models | Practical sessions and discussion | Practical sessions and discussion |
| 17th February | Panel data modelling | Panel data modelling | Panel data modelling | Panel data modelling |
| 18th February | Unit root, cointegration and structural break models | Unit root, cointegration and structural break models | Hands on session | Practical sessions and discussion |
| 19th February | Multivariate Volatility Models- I: MGARCH-BEKK, CCC and DCC models | Practical sessions and discussion | Introduction to connectedness analysis and network science | Practical sessions and discussion |
| 20th February | Event-study Analysis | Practical sessions and discussion | Machine Learning Techniques | Practical session and discussion |
Speakers
Dr. Wasim Ahmad
Department of Economic Sciences,
IIT Kanpur
Email: wasimad@iitk.ac.in
Dr. Suman Saurabh
Department of Industrial and Management Engineering,
IIT Kanpur
Email: sumans@iitk.ac.in
Dr. Rishman Jot Kaur Chahal
Department of Humanities and Social Sciences,
IIT Roorkee
Email: rishman.chahal@hs.iitr.ac.in
Dr. Rajendra N Pramanik
Department of Humanities and Social Sciences,
IIT Patna
Email: rajendra@iitk.ac.in
Dr. Bhavesh Garg
Department of Humanities and Social Sciences,
IIT Ropar
Email: bhavesh@iitrpr.ac.in
Dr. Abhinava Tripathi
Department of Management Studies,
IIT Roorkee
Email: abhinava.tripathi@ms.iitr.ac.in
Dr. Gazi Salah Uddin
Department of Management and Engineering (IEI),
Linkoping University
Email: gazi.salah.uddin@liu.se
Priyanshi Gupta
Delivery Lead at Acuity Knowledge Partners
Bangalore Urban, Karnataka, India
Registrations are closed
Attendance is mandatory to receive Course Certificate.
Contact Person
Contact to following person in case of any query related to registration...
Vinay Kumar
QIP IIT Kanpur
Email: qip@iitk.ac.in
Phone: 0512-259-7795
Yogendra Singh
QIP IIT Kanpur
Email: cdte@iitk.ac.in
Phone: 0512-259-7795
Webpage: www.iitk.ac.in/cce/Yogi/