Financial Time Series: GARCH Processes

In course

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Description

This lecture covers the fundamentals of financial time series, including stationarity, autocorrelation, and martingale difference. It delves into GARCH processes, fitting data, volatility forecasting, and conditional risk measurement in quantitative risk management.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_4bex12ek

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Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics

Economics

Microeconomics: Financial economics

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