Ensimag Rubrique Formation 2022

Financial statistical methods - WMMFMA13

  • Number of hours

    • Lectures 18.0
    • Projects -
    • Tutorials -
    • Internship -
    • Laboratory works -
    • Written tests -

    ECTS

    ECTS 2.0

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.

Responsible(s)

Christophe DUTANG

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

Evaluation : TP notés

Resit : 30% of TP notés (reported score) and 70% of Examen Ecrit (1h30)

Practical project (100%)

Calendar

The course exists in the following branches:

see the course schedule for 2025-2026

Additional Information

Course ID : WMMFMA13
Course language(s): FR

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.