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
EXAMIN: 50%
CONTINUOUS CONTROL: 50%
Type of exam: Pratical Work
NORMAL SESSION:
Type of exam: On-machine exam
Specific room: On-machine exam room
Duration: 3h00
Authorized documents: none
Prohibited documents: all
Comments: the On-machine exam is sheduled during the 6th session. The continuous control part is due after the 12th session.
SECOND SESSION :
Type of exam: Practical work to be submitted.
Comments: Specific work to be done. No exam in the school.
N1=50%CC1 + 50%EXAM1
N2=100%CC2
EXAM1: Examen TP en séance 6, CC1: travail à rendre après la session 12, CC2: travail à rendre à l'enseignant à une date indiquée lors de la convocation à l'examen de session 2.
Calendar
The course exists in the following branches:
- Curriculum - Financial Engineering - Semester 9
Additional Information
Course ID : WMMFMA12
Course language(s): 
The course is attached to the following structures:
- Team Probability-Statistics
- Team Finance.
You can find this course among all other courses.