FINANCIAL STATISTICAL METHODS

1. Elementary statistical description of stock market prices and returns.
2. Econometric models for financial applications :

• • ARCH models,
  • Stochastic volatility models.

All finance and applied mathematics courses of 2nd year.

Practical project (100%)

N1=P
N2=E2

C. Gourieroux : Modèles ARCH et applications financières. Economica
C. Gourieroux, O. Scaillet, A. Safarz : Econométrie de la Finance, Economica.
N. Shephard : Stochastic volatility. Advanced texts in Econometrics.