Eric W Zivot
Focuses on statistical modeling of financial time series with an emphasis on modeling volatility and correlation. Topics include statistical properties of asset returns, volatility and correlation modeling, statistical analysis of ultra high frequency time series, and estimation of continuous time models for asset returns. Prerequisite: ECON 583; either ECON 584 or STAT 519.
This is a course in financial econometrics with an emphasis on the concepts, techniques and tools required for quantitative risk management. The focus will be on the statistical modeling of financial time series (asset prices and returns) with an emphasis on modeling volatility and correlation for quantitative risk management. The learning goals/objectives of the course are to (1) survey the relevant theoretical and practical literature; (2) introduce state-of-the-art techniques for modeling financial time series and managing financial risk; (3) use the open source R statistical software to get hands-on experience with real world data.
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