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.

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.