Lecture

Quantitative Risk Management: Volatility Modeling

In course

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Description

This lecture by the instructor covers the modeling of volatility in quantitative risk management. Topics include ARMA processes, ARCH and GARCH models, causal representation, and volatility forecasting. The lecture delves into the estimation of parameters, stationarity, and conditional risk measurement.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_uc93hg8d

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Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics

Economics

Microeconomics: Financial economics

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