447-6191-00L  Statistical Analysis of Financial Data

SemesterAutumn Semester 2020
LecturersM. Dettling, A. F. Ruckstuhl
Periodicitytwo-yearly recurring course
Language of instructionEnglish
CommentSpecial Students "University of Zurich (UZH)" in the Master Program in Biostatistics at UZH cannot register for this course unit electronically. Forward the lecturer's written permission to attend to the Registrar's Office. Alternatively, the lecturer may also send an email directly to Link. The Registrar's Office will then register you for the course.


447-6191-00 GStatistical Analysis of Financial Data Special students and auditors need a special permission from the lecturers.
Block course on 18, 25 January and 1, 15 February 2021. For further information see Link
17.5s hrs
18.01.08:00-12:00ON LI NE »
25.01.08:00-12:00ON LI NE »
01.02.08:00-18:00ON LI NE »
15.02.08:00-12:00ON LI NE »
M. Dettling, A. F. Ruckstuhl

Catalogue data

AbstractDistributions for financial data. Volatility models: ARCH- and GARCH models. Value at risk and expected shortfall. Portfolio theory: minimum-variance portfolio, efficient frontier, Sharpe’s ratio. Factor models: capital asset pricing model, macroeconomic factor models, fundamental factor model. Copulas: Basic theory, Gaussian and t-copulas, archimedean copulas, calibration of copulas.
ObjectiveGetting to know the typical properties of financial data and appropriate statistical models, incl. the corresponding functions in R.

Performance assessment

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits2 credits
ExaminersM. Dettling, A. F. Ruckstuhl
Typeungraded semester performance
Language of examinationEnglish
RepetitionRepetition possible without re-enrolling for the course unit.
Additional information on mode of examinationPerformance assessment on 22 February 2021.

Learning materials

No public learning materials available.
Only public learning materials are listed.


No information on groups available.


General : Special students and auditors need a special permission from the lecturers

Offered in

CAS in Applied StatisticsFurther CoursesWInformation
DAS in Applied StatisticsElectivesWInformation
Statistics MasterStatistical and Mathematical CoursesWInformation