Financial Time Series: Stylized Facts and Modeling

In course

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Description

This lecture covers stylized facts of financial time series, including serial correlation, volatility clustering, and heavy tails. It also introduces modeling techniques such as ARCH and GARCH processes for risk estimation.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_aye5ozrw

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Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics

Data analysis: Time series, Regression analysis

Economics

Microeconomics: Financial economics

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