Description:
This course introduces students to financial statistics. Selected topics include extreme value theory, volatility modeling, high-frequency statistics, large dimensional factor modeling and forecast evaluation. The course requires a solid background in statistics and mathematics and some knowledge of economics and finance. Examples drawn from risk management and portfolio management will highlight the practical relevance of the statistical methods. The main objectives are to give students a background that will enable them to understand and critically appraise applied work on financial issues, and to provide students with some practical experience in working with financial data.
Literature:
tba
Time & venue:
Fridays, 10:00-14:00 (starting on 25.04.2025), FU Berlin, Garystr. 21, room 108a
Exam:
Written exam & presentation
