Financial mathematical programmation project - WMMFMA12
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Goals
Program a C++ library of regression models with ARCH type residuals.
Excel / WEB interface C# and C++/CLI
Content - 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
Prerequisites2nd Year program
Financial statistical methods
Tests Continuous control (100%)
N1=P
pas de rattrapage
Additional Information Course ID : WMMFMA12
Course language(s): 
The course is attached to the following structures:
You can find this course among all other courses.
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Date of update September 21, 2022