Link: Karlsruher Institut für Technologie (KIT), Lehrstuhl für Ökonometrie und Statistik (STAT)
Overview:
- Problem Set 1: R code of P1, P2
- Last updated: 17.05.2018
- Problem Set 2: R code of P3
- Last updated: 30.05.2018
- Problem Set 3: Answer of P4, P5
- Problem Set 4: R code of P6, P7
- P6: Q&A of ACF
- Problem Set 5: P8, R code of P9
- Problem Set 6: P10
Task List of the Tutorial:
- Financial Returns: Basic Concepts and Properties
- 1.1. Introduction
- 1.2. Financial Time Series
- 1.3. Distributional Properties of Financial Returns
- Time Series Foundations and Price Dynamics
- 2.1. Foundations in Time Series Analysis
- 2.2. Financial Prices and Returns
- Modelling Time-Varying Volatility
- 3.1. Introduction
- 3.2. GARCH Models