Courses

Causal Inference Methods for Observational Studies (Ph.D level course at IIMU in Oct 2018). The main topics include:

-- The potential outcomes model

-- Matching methods

-- Panel methods

-- Difference-in-Differences

-- Clustered standard errors

-- R implementation

-- Synthetic control method

-- Instrumental variables

-- Regression discontinuity design

-- R implementation

Financial Time Series Analysis with R (MBA class at IIMU in Jan - Mar 2018, Jan - Mar `19). The main topics include:

-- Introduction to financial time series

-- Returns and their characteristics

-- Random Walk Model and the Efficient Market Hypothesis

-- Event Studies

-- Time series models

-- Stationarity, ACF and PACF, Ljung-Box test

-- Linear stationary models: AR, MA, ARMA Models

-- Forecasting and forecast accuracy

-- Non-stationarity, Tests for non-stationarity

-- Testing returns predictability

-- Seasonality

-- Regression with time-series errros

-- Volatility modelling: ARCH, GARCH, RiskMetrics

-- Market microstructure and high frequency data