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Informatique et Mathématiques appliquées
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> Formation > Cursus ingénieur

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

  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.

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): FR

The course is attached to the following structures:

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

Université Grenoble Alpes