Ensimag Rubrique Formation 2022

FINANCIAL STATISTICAL METHODS

  • Number of hours

    • Lectures 18.0

    ECTS

    ECTS 1.87

Goal(s)

The goal of this course is to present the main econometric model and the associated statistical methods used to study the behavior of stock market prices.


Contact Ollivier TARAMASCO

Content(s)

  1. Elementary statistical description of stock market prices and returns.
  2. Econometric models for financial applications :
    • ARCH models,
    • Stochastic volatility models.


Prerequisites

All finance and applied mathematics courses of 2nd year.

Test

Practical project (100%)



N1=P
N2=E2

Additional Information

Curriculum->For Financial Engineering->Semester 5

Bibliography

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.