ONLINE QIP Short Term Course on Financial Time- Series Modelling in R

15-20 February 2021

Coordinator

Dr. Wasim Ahmad
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/