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Course Details



Prof. Okhrin
WIW-5020


Quantitative Methods in Finance

Lecturer: Prof. Dr. Yarema Okhrin
Type: Lecture
Exam: Written exam
ECTS: 6
Term: Summer
Level: Master
Limitation: None

1. Modelling the distribution of returns: parametric versus nonparametric approaches 2. Modelling expected returns: multivariate regression and fundamentals of time series analysis 3. Modelling the volatility of returns: GARCH processes 4. Modelling dynamic relationships between returns using Copulas 5. Modelling intraday returns and realized volatility Aim of the course is to understand and to apply the major quantitative approaches to model and forecast financial data. The stylized facts concerning the distribution of returns, expected returns and volatility will be covered in detail. The empirical application of the covered methods will be further strenghtened in an additional computer-based tutorial using real data.


For further information or application procedure please check the module manual and the website of the chair.