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2023-24 Spring - MAFS5130 - Quantitative Analysis of Financial Time Series

Course

Description

Instructor(s)/Supervisor(s)/Coordinator(s): Shiqing LING
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 period1/02/2430/06/24
Course levelPG
Course formatLecture