Statistical Methods in Finance 2016

Dec 18 - 22, 2016


Empirical Analysis in Economics and Finance

by Subrata Sarkar

Econometric and statistical analysis have long been used to understand and quantify economic and financial relations. In recent decades this pursuit has gained increasing momentum due to advancement of theory, access to large datasets and availability of cheap computing power. Empirical analysis is now pervasive in understanding economic, financial and social phenomena.

This talk, aimed at graduate students, will give an overview of empirical models that are used to measure risk and volatility in empirical finance, modelling duration dependence in economic relations, and handling the issue of selection bias that arise in many experimental settings. Both theory and applications will be discussed.