Subject:
Actuarial Science (ACTSC)
Catalog number:
974
Unit weight:
0.50
Meet type:
LEC
Grading basis:
NUM
Cross-listing(s):
STAT-974
Requisites:
N/A
Description:
The focus of this course is on the statistical modelling, estimation and inference and forecasting of nonlinear financial time series, with a special emphasis on volatility and correlation of asset prices and returns. Topics to be covered normally include: review on distribution and dynamic behaviour of financial time series, univariate and multivariate GARCH processes, long-memory time-series processes, stochastic volatility models, modelling of extreme values, copulas, realized volatility and correlation modelling for ultra high frequency data and continuous time models.
Topic titles:
N/A
Faculty:
Mathematics (MAT)
Academic level:
GRD
Course ID:
014063
