Lecture

Financial Time Series: Stylized Facts and Models

In course

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Description

This lecture covers financial time series, including stylized facts, AR, MA, ARMA, ARCH, and GARCH processes. It explores fitting models, volatility, and risk estimation, emphasizing the importance of understanding the dynamics of financial data.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_a43ag27d

About this result

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Ontological neighbourhood

Statistics

Data analysis: Time series

Statistical inference: Mathematical statistics

Economics

Microeconomics: Financial economics

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