COURSE - Financial Time Series Analysis (advanced)

The course intends to deepen the most advanced problems of analysis and forecasting of financial time series. In particular, the non-linear dynamics of financial phenomena will be analyzed and the operational uses of models in the context of portfolio optimization will be examined.

• Course Manager:
  Prof. Luigi SANTAMARIA
• Course Coordinator:
  Prof. Riccardo BRAMANTE

The Professors of the Courses will be consultants and operators in the economic-financial sector; well-known and established university professors in the world of education.

Program:

Statistical models for financial time series (advanced)

• ARCH and GARCH models (extensions)
• Multivariate VAR and GARCH processes
• Stochastic volatility models
• Long memory models

Financial market-specific models

• Models for predicting interest rates
• VaR Models
• Asset Management Models