Checking date: 12/04/2017


Course: 2017/2018

Advanced financial statistics
(15924)
Study: Master in Finance (261)
EPE


Coordinating teacher: LOPES MOREIRA DA VEIGA, MARIA HELENA

Department assigned to the subject: Department of Statistics

Type: Electives
ECTS Credits: 3.0 ECTS

Course:
Semester:




Students are expected to have completed
Competences and skills that will be acquired and learning results.
Description of contents: programme
Learning activities and methodology
Assessment System
  • % end-of-term-examination 60
  • % of continuous assessment (assigments, laboratory, practicals...) 40
Basic Bibliography
  • Ruey S. Tsay. Analysis of Financial Time Series. Wiley. 2010
  • Taylor, S.. Asset price dynamics, volatility and prediction. Princeton University Press. 2005
Additional Bibliography
  • Aggoun L. and Elliot R. . Measure theory and filtering, introduction with applications. Cambridge University Press. 2004
  • Campbell, J. Y., Lo, A. W., and MacKinlay, A. C.. The Econometrics of Financial Markets. Princeton University Press, New Jersey. 1997
  • Dacarogna, M. M., Gencay, R., Muller, U. A., Olsen, R. B., and Pictet, O. V.. An Introduction to High-Frequency Finance. Academic Press. 2001
  • Dacarogna, M. M., Gen¿cay, R., M¿uller, U. A., Olsen, R. B., and Pictet, O. V.. An Introduction to High-Frequency Finance. Academic Press. 2001
  • Harvey A.C.. Forecasting, structural time series models and the Kalman filter. Cambridge University Press. 1989
  • James, J. and N. Webber . Interest rate Modelling. John Wiley & Sons. 2002
  • Silvennoinen, A. and Teräsvirta, T. Multivariate GARCH models. Handbook of Financial Time Series, New York: Springer.. 2008

The course syllabus and the academic weekly planning may change due academic events or other reasons.


More information: http://halweb.uc3m.es/esp/Personal/personas/mhveiga/eng/docencia.html