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Course outline
1
Why a separate discipline?
1.1
Basic econometrics reminder
1.2
Recalling of R programming environment
1.3
Financial econometrics packages in R
2
Financial time-series and asset-pricing
2.1
Stylized facts of returns
2.2
Asset pricing models
3
Univariate GARCH models
3.1
Post-estimation phase
3.2
GARCH modelling in R
3.3
Asymmetric GARCH models
4
Multivariate GARCH models
4.1
MGARCH modelling in R
5
Nonparametric volatility and co-volatility
5.1
OHLC measures
5.2
Realized measures of volatility
5.3
Realized volatility in R
5.4
Realized measures of co-volatility
6
Risk measures and extreme value theory
6.1
Backtesting
6.2
Extreme value approach to VaR
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Financial econometrics using R
6.1
Backtesting