Quantitative Risk Management: Volatility Modeling

Related lectures (31)

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Covers volatility modeling in quantitative risk management, including ARMA, ARCH, GARCH models, and forecasting.

Explores long memory in time series and Autoregressive Conditional Heteroskedasticity processes in financial data.

Explores ARCH and GARCH models, volatility clustering, time series, estimation, and filtering steps in financial and macroeconomic contexts.

Delves into implied volatility, historical volatility, option pricing implications, and various volatility models in financial innovation.

Covers GARCH processes for financial time series analysis.

Explores financial time series, including ARMA and GARCH processes, emphasizing risk estimation.

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

Covers ARCH and GARCH models for volatility forecasting in risk-factor changes.

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

Covers maximum likelihood theory, applications, and hypothesis testing principles in econometrics.