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Teaching material

1. Slides

» 00. Syllabus and Presentation
data inserimento: 2023-04-06 11:46:41
» 02. Modelling and forecasting volatility: ARCH and GARCH models
data inserimento: 2023-04-13 16:38:45
» 03. Multivariate GARCH Models
data inserimento: 2023-04-19 08:29:16
» 03. Principal components analysis (appendix)
data inserimento: 2023-04-27 20:52:23
» 04. High-Dimensional Covariance Matrix Estimation
data inserimento: 2023-05-02 08:32:02
» 05. Dependence and Copulae
data inserimento: 2023-05-02 08:31:51
» 06. Risk measures: VaR and Expected Shortfall
data inserimento: 2023-05-03 15:01:52
» 07. Stochastic Volatility Models
data inserimento: 2023-05-05 17:08:58
» 08. Realized Volatility and Long Memory Models
data inserimento: 2023-05-11 15:18:59

2. Tutorials

» Lab 1
data inserimento: 2023-04-12 11:14:42
» Lab 2
data inserimento: 2023-04-16 11:02:32
» Lab 3
data inserimento: 2023-04-27 20:50:34
» Lab 4
data inserimento: 2023-05-08 08:20:25
» Lab 5
data inserimento: 2023-05-16 10:17:05
» R studio - Links
data inserimento: 2023-04-06 11:46:54
» The R package Rugarch
data inserimento: 2023-04-06 11:46:54
» Working with Time Series Data in R
data inserimento: 2023-04-06 11:46:54

3. Problem Sets

» Problem Set 1
data inserimento: 2023-04-06 11:48:19
» Problem Set 1 - Solutions
data inserimento: 2023-04-19 08:32:02
» Problem Set 2
data inserimento: 2023-04-19 08:30:41
» Problem Set 2 - Solutions
data inserimento: 2023-05-16 11:20:39
» Problem Set 3
data inserimento: 2023-04-27 21:14:42
» Problem set 4
data inserimento: 2023-05-10 11:49:24
» Problem Set 5
data inserimento: 2023-05-16 11:52:18

4. Assignments

» Assignment 1
data inserimento: 2023-04-14 16:05:46
» Assignment 2
data inserimento: 2023-04-29 11:32:26
» Assignment 3
data inserimento: 2023-05-02 12:50:49
» Assignment 4
data inserimento: 2023-05-23 16:12:39
» Diebold and Mariano (2002) Comparing Predictive Accuracy
data inserimento: 2023-04-14 16:05:56
» Rama Cont (2000) Empirical properties of asset returns
data inserimento: 2023-04-14 16:05:56
» Riskmetrics 1996 Technical Document
data inserimento: 2023-04-14 16:05:56
» Robert Engle's Nobel Lecture
data inserimento: 2023-04-14 16:05:56

6. Useful links

» Econometrics of high frequency data
data inserimento: 2023-04-14 16:06:05
» Kevin Sheppard's Course MFE Financial Econometrics
data inserimento: 2023-04-14 16:06:05

7. Final Exam Preparation

» Final Exam July 2022
data inserimento: 2023-07-03 16:14:07
» Final exam June 2022
data inserimento: 2023-05-08 08:44:47