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CEA CAPA Partner Institution: Universidad Carlos III de Madrid
Location: Madrid, Spain
Primary Subject Area: Finance
Instruction in: English
Course Code: 14449
Transcript Source: Partner Institution
Course Details: Level 400
Recommended Semester Credits: 3
Contact Hours: 42
Prerequisites: Statistics I, Statistics II
DESCRIPTION
Chapter 1 DYNAMIC DATA: PROPERTIES AND LINEAR MODELS 1.1 Properties of dynamic data: dependence and evolution 1.2 The autocorrelation funacion: linear dependence of financial returns 1.3 Differences between the marginal and conditional distributions: Are returns Normal? 1.4 Linear and non-linear models 1.5 ARMA models for conditional means 1.6 Efficiency tests in financial markets
Chapter 2 UNIVARIATE GARCH MODELS 2.1 Empiric properties of financial returns: Euribor, IBEX35, ¿/$, ¿/£, ¿/Yuan. The role of observation frequency 2.2 ARCH(1) model: properties 2.3 GARCH(1,1) model: properties 2.4 IGARCH model: Riskmetrics 2.5 Asymmetric response of volatility: EGARCH(1,1) model 2.6 GARCH-M model 2.7 Estimation and forecasting of volatility. Constructing forecast intervals for financial returns 2.8 Computing the value at risk of stocks
Chapter 3 MULTIVARIATE GARCH MODELS 3.1 Properties of multivariate financial data 3.2 Multivariate GARCH models: problems 3.3 BEKK model 3.4 CCC model 3.5 Correlations among financial stocks: portfolio management 3.6 Temporal structure of interestrates
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