Number of hours
- Lectures 36.0
ECTS
ECTS 3.5
Goal(s)
Make a C++ library of regression models with ARCH type residuals.
Excel / WEB interface
Contact Ollivier TARAMASCO
Content(s)
Class design of ARMA/GARCH type models
Conditional mean and conditional variance computation.
Simulation
Maximum likelihood estimation
Prerequisites
2nd Year program
Financial statistical methods
Test
Continuous control (100%)
N1=P
pas de rattrapage
Additional Information
Curriculum->For Financial Engineering->Semester 5