447-6191-00L Statistical Analysis of Financial Data

Semester	Autumn Semester 2020
Lecturers	M. Dettling, A. F. Ruckstuhl
Periodicity	two-yearly recurring course
Language of instruction	English
Comment	Special 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 registrar@ethz.ch. The Registrar's Office will then register you for the course.

Number

Title

Hours

Lecturers

447-6191-00 G

Statistical Analysis of Financial Data

Block course on 18, 25 January and 1, 15 February 2021. For further information see http://stat.ethz.ch/wbl/wbl

17.5s hrs

Abstract	Distributions 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.
Objective	Getting to know the typical properties of financial data and appropriate statistical models, incl. the corresponding functions in R.

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits	2 credits
Examiners	M. Dettling, A. F. Ruckstuhl
Type	ungraded semester performance
Language of examination	English
Repetition	Repetition possible without re-enrolling for the course unit.
Additional information on mode of examination	Performance assessment on 22 February 2021.

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

Programme	Section	Type
CAS in Applied Statistics	Further Courses	W
DAS in Applied Statistics	Electives	W
Statistics Master	Statistical and Mathematical Courses	W