请选择 进入手机版 | 继续访问电脑版
楼主: ReneeBK
10593 35

[精品讲义下载]Eric Zivot Lecture Notes: Financial Econometrics using R [推广有奖]

  • 1关注
  • 62粉丝

VIP

学术权威

14%

还不是VIP/贵宾

-

TA的文库  其他...

R资源总汇

Panel Data Analysis

Experimental Design

威望
1
论坛币
49392 个
通用积分
51.6904
学术水平
370 点
热心指数
273 点
信用等级
335 点
经验
57815 点
帖子
4006
精华
21
在线时间
582 小时
注册时间
2005-5-8
最后登录
2023-11-26

ReneeBK 发表于 2014-5-30 04:27:49 |显示全部楼层 |坛友微信交流群

+2 论坛币
k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群
赵安豆老师微信:zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

感谢您参与论坛问题回答

经管之家送您两个论坛币!

+2 论坛币
Course Description

Eric Zivot
348 Savery Hall
email: ezivot at u dot washington dot edu
543-6715
Office Hours: Monday 1-2

TA: Xuyang Ma (maxuyang at uw dot edu)

Spring 2013

This is a course in financial econometrics with an emphasis on the concepts, techniques and tools required for quantitative risk management.  The focus will be on the statistical modeling of financial time series (asset prices and returns) with an emphasis on modeling volatility and correlation for quantitative risk management. The learning goals/objectives of the course are to (1) survey the relevant theoretical and practical literature; (2) introduce state-of-the-art techniques for modeling financial time series and managing financial risk; (3)  use the open source R statistical software to get hands-on experience with real world data. Topics to be covered include:

  • Overview of risk concepts

  • Risk measures

  • Empirical properties and stylized facts of asset returns

  • Probability distributions and statistical models for asset returns

  • Volatility and correlation modeling

  • Estimation of risk measures

  • Factor risk models for asset returns

  • Systemic risk


Requirements

Weekly homework assignments  and computer lab work using R. Midterm and Final exam.

Grading distribution: Homework, labs weekly discussions (30%); Midterm (30%); Final exam (40%).

Prerequisites

Graduate level econometrics or equivalent (econ 580-583). Familiarity with time series methods at the level of econ 584 or stat 519. Some familiarity with statistical programming using matrix languages (GAUSS, MATLAB, R, or S-PLUS).

Required Textbooks

McNeil, A., Frey, R., and Embrechts, P., Quantitative Risk Management: Concepts, Techniques, and Tools, Princeton University Press, 2005.

Jondeau, E., Poon, S.-H., and Rockinger, M. (2006). Financial Modeling Under Non-Gaussian Distributions, Springer-Verlag ebook. Available online from UW libraries.

Optional Textbooks

Danielsson, J., Financial Risk Forecasting, Wiley Finance, 2011.

Ruppert, D. (2010). Statistics and Data Analysis for Financial Engineering, Springer-Verlag.  Book website.

Tsay, R. (2010). Analysis of Financial Time Series, Third Edition. Wiley.

Supplemental reading from journal articles and non-required textbooks (available on course webpage)



二维码

扫码加我 拉你入群

请注明:姓名-公司-职位

以便审核进群资格,未注明则拒绝

关键词:econometrics Econometric financial inancial Financia techniques concepts emphasis required quarter

已有 1 人评分学术水平 热心指数 信用等级 收起 理由
日新少年 + 1 + 1 + 1 精彩帖子

总评分: 学术水平 + 1  热心指数 + 1  信用等级 + 1   查看全部评分

本帖被以下文库推荐

mike68097 发表于 2014-5-30 04:56:10 |显示全部楼层 |坛友微信交流群
This must be a valuable resources to explore!

使用道具

tmdxyz 发表于 2014-5-30 05:35:05 |显示全部楼层 |坛友微信交流群
谢谢,下来看看

使用道具

rongkai 发表于 2014-5-30 06:24:09 |显示全部楼层 |坛友微信交流群
thanks

使用道具

lipj 在职认证  发表于 2014-5-30 06:33:12 |显示全部楼层 |坛友微信交流群
为了美好的未来生活而奋斗!

使用道具

songlinjl 发表于 2014-5-30 06:41:29 来自手机 |显示全部楼层 |坛友微信交流群
ReneeBK 发表于 2014-5-30 04:27
Course DescriptionEric Zivot
348 Savery Hall
email: ezivot at u dot washington dot edu
学习不丢钱

使用道具

yangke74 在职认证  发表于 2014-5-30 06:49:10 |显示全部楼层 |坛友微信交流群
好讲义啊!

使用道具

fengyg 企业认证  发表于 2014-5-30 07:48:29 |显示全部楼层 |坛友微信交流群
kankan

使用道具

ljhxxx 发表于 2014-5-30 08:26:27 |显示全部楼层 |坛友微信交流群

This must be a valuable resources to explore!

使用道具

nkky2011 发表于 2014-5-30 10:18:06 |显示全部楼层 |坛友微信交流群
Eric Zivot Lecture

使用道具

您需要登录后才可以回帖 登录 | 我要注册

本版微信群
加好友,备注jltj
拉您入交流群

京ICP备16021002-2号 京B2-20170662号 京公网安备 11010802022788号 论坛法律顾问:王进律师 知识产权保护声明   免责及隐私声明

GMT+8, 2024-3-29 20:45