FIN-616: Financial Econometrics II (2020 -2024)

Summary

This course has 3 parts

We understand how to use moment based estimations to obtain the parameters for explicit or implicit models.
We learn how to estimate latent parameters in a time series context with the Kalman filter.
Machine learning tools belong in any PhDs toolkit.

Official source

https://edu.epfl.ch/coursebook/en/financial-econometrics-ii-2020-2024-FIN-616

Moodle Page

http://go.epfl.ch/FIN-616

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