Skip to main navigation Skip to search Skip to main content

2024-25 Fall - MSBD5006 - 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 model.
Course period1/09/2431/12/24
Course levelPG
Course formatLecture