Number of hours
- Lectures 33.0
ECTS
ECTS 3.75
Goal(s)
Make a C++ library of regression models with ARCH type residuals.
Excel / WEB interface C# and C++/CLI
Contact Ollivier TARAMASCO
Content(s)
- Class design of ARMA/GARCH type models
- Conditional mean and conditional variance computation.
- Simulation
- Maximum likelihood estimation
- Asympototic covariance matrix of the estimators
- Tests of parameters
- User's interface
Prerequisites
2nd Year program
Financial statistical methods
Test
Continuous control (100%)
N1=P
pas de rattrapage
Additional Information
Curriculum->For Financial Engineering->Semester 5