Financial econometrics

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Financial markets feature a large amounts of data on asset returns, associated volatility, and other financial variables in long and high-frequency time series. Analysing and forecasting markets developments requires knowledge of the properties of time series and appropriate statistical methods.

Common methods and applications include:

  • Uni-variate (ARMA) and multivariate (VAR) time series modelling
  • GARCH, ARCH modelling
  • High frequency data analysis
  • Fractionally integrated process modelling

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