Number of hours
- Lectures 36.0
- Projects -
- Tutorials -
- Internship -
- Laboratory works -
- Written tests -
ECTS
ECTS 4.0
Goal(s)
Program a C++ library of regression models with ARCH type residuals.
Excel / WEB interface C# and C++/CLI
Responsible(s)
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
2nd Year program
Financial statistical methods
Test
Continuous control (100%)
N1=P
pas de rattrapage
Calendar
The course exists in the following branches:
- Curriculum - Financial Engineering - Semester 9
Additional Information
Course ID : WMMFMA10
Course language(s): 
The course is attached to the following structures:
- Team Finance.
- Team Probability-Statistics
You can find this course among all other courses.