Financial Time Series: Stylized Facts and Models

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Covers stylized facts of asset returns, summary statistics, testing for normality, Q-Q plots, and efficient market hypothesis.

Explores the tradeoff between risk and return in portfolios, the benefits of diversification, and the impact of correlation on portfolio risk.

Explores efficient portfolios, risk management, and the CAPM model in finance.

Covers parametric signal models and practical Matlab applications for Markov chains and AutoRegressive processes.

Explores time series models, emphasizing autoregressive processes, including white noise, AR(1), and MA(1), among others.

Explores portfolio optimization, efficient frontier, CAPM, and risk management in finance.

Covers GARCH processes for financial time series analysis.

Covers the analysis of heavy-tailed price returns and clustered volatility in financial data.

Explores linear filtering, spectral estimation, and second-order stationarity in time series analysis.

Explores the Black-Scholes formula for option pricing and risk-neutral pricing in financial economics.