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

Practical project (100%)

N1=P
N2=E2
où P est la moyenne des notes de TP.

Calendar

The course exists in the following branches:

  • Curriculum - Financial Engineering - Semester 9
see the course schedule for 2023-2024

Additional Information

Course ID : WMMFMA13
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.