Financial statistical methods - WMMFMA11

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Number of hours
- Lectures : 18.0
- Tutorials : -
- Laboratory works : -
- Projects : -
- Internship : -
- Written tests : -
ECTS : 2.0
Officials : Ollivier TARAMASCO

Goals

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.

Content

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

- ARCH models,
- Stochastic volatility models.

Prerequisites

All finance and applied mathematics courses of 2nd year.

Tests

Practical project (100%)

N1=P
N2=E2

Calendar

The course exists in the following branches:

Curriculum - Financial Engineering - Semester 9

see the course schedule for 2020-2021

Additional Information

Course ID : WMMFMA11
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.

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.

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Date of update January 15, 2017

Version française

Voir la version française de cette page

École nationale supérieure d'informatique et de mathématiques appliquées
681, rue de la passerelle - Domaine universitaire - BP 72
38402 SAINT MARTIN D'HERES

Financial statistical methods - WMMFMA11

Number of hours

Goals

Version française