Dr Michael Pitt
Phone: +44 (0)24 76 523226
Email: m.pitt (at) warwick.ac.uk
Fax: +44 (0)24 76 523032
Room: S2.111
Associate Fellow of FERC, Affiliate member of CSC.
Office Hours: Thurs 11.00 am - 1.00 pm.
Recent Administrative Duties
MORSE liaison officer, Undergraduate open day coordinator.
Recent Teaching Experience
EC203 Economic Statistics & Econometrics (Undergraduate, running 2005/06).
EC913 Statistical Analysis of Time Series (Masters).
Advanced Econometrics (PhD, running 2005/6).
Techniques in Mathematical Economics and Econometrics (Undergraduate).
Simulation Methods (Masters).
Econometrics B (Masters).
Econometrics A (Masters classes, running 2005/06). Mon (10 -11, 3-4, T1), Wed (10-11, T1).
Research in Applied Economics (Undergraduate, running 2005/06). Thu (3-4, T1).
Research Interests
Financial Time Series; Non-Gaussian state space models; Stochastic Volatility models; Financial Econometrics; Bayesian methodology and Markov Chain Monte Carlo; Filtering and Smoothing; Time series with specified marginal densities.
