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Teaching material

Final exam

» Assignment 1
data inserimento: 2021-01-04 08:14:25
» Assignment 2
data inserimento: 2021-01-04 08:14:16
» Assignment 3
data inserimento: 2021-01-04 08:14:36
» Assignment 4
data inserimento: 2021-01-04 08:14:09
» Final exam
data inserimento: 2018-05-16 13:47:27
» Final exam 28 May 2018
data inserimento: 2019-05-22 16:11:04

Problem sets

» Problem set 1
data inserimento: 2019-04-10 18:50:34
» Problem set 2
data inserimento: 2020-04-19 09:24:25
» Problem set 3
data inserimento: 2019-05-13 17:07:06
» Problem set 4
data inserimento: 2019-05-13 17:07:42
» Problem set 5
data inserimento: 2019-05-22 16:15:00
» Solutions Problem set 1
data inserimento: 2019-04-17 11:29:44
» Solutions Problem Set 2
data inserimento: 2020-04-19 09:24:45
» Robert Engle's Nobel Lecture
data inserimento: 2015-03-28 19:26:17

Slides and teaching material

» 0. Presentation and syllabus
data inserimento: 2020-04-14 19:15:08
» 03. Multivariate GARCH models
data inserimento: 2020-05-10 17:29:26
» 04. Value at Risk
data inserimento: 2020-05-10 17:29:43
» 05. High Dimensional Covariance matrices
data inserimento: 2020-05-10 17:29:56
» 06. Dependence and Copulae
data inserimento: 2020-05-10 17:30:12
» 07. Stochastic Volatility Models
data inserimento: 2020-05-10 17:30:47
» 08. Realized volatility
data inserimento: 2020-05-18 07:42:05
» 09. Long Memory in Realized Volatility
data inserimento: 2020-05-18 07:42:50

Tutorials

» Lab1
data inserimento: 2020-04-17 12:28:13
» Lab2
data inserimento: 2020-05-06 17:32:59
» Lab3
data inserimento: 2020-05-06 17:32:59
» Lab 4
data inserimento: 2020-05-06 17:32:59
» Lab5
data inserimento: 2020-05-13 17:01:10
» Lab6
data inserimento: 2020-05-20 18:21:02
» R studio - Links
data inserimento: 2020-05-20 18:21:02
» The R package Rugarch
data inserimento: 2020-05-20 18:21:02
» Working with Time Series Data in R
data inserimento: 2020-05-20 18:21:02

Useful links

» Econometrics of high frequency data
data inserimento: 2015-03-28 19:44:33
» Kevin Sheppard's Course MFE Financial Econometrics
data inserimento: 2015-03-28 19:46:45
» Oxford-Man Institute of Quantitative Finance
data inserimento: 2015-03-28 19:44:33