2021-22 Spring - MAFS5130 - Quantitative Analysis of Financial Time Series

Course

Description

Analysis of asset returns: autocorrelation, predictability and prediction. Volatility models: GARCH-type models, long range dependence. High frequency data analysis: transactions data, duration. Markov switching and threshold models. Multivariate time series: cointegration models and vector GARCH models.
Course period1/02/2230/06/22
Course levelPG
Course formatLecture