Lectures related to ARCH and GARCH Models

Quantitative Risk Management: Volatility Modeling

Covers volatility modeling in risk management, including ARMA, ARCH, GARCH models, causal representation, and forecasting.

Long Memory and ARCH: Time Series Math 342

Explores long memory in time series and Autoregressive Conditional Heteroskedasticity processes in financial data.

Time Series: Forecasting and Long Memory

Explores forecasting in time series analysis, long memory processes, and ARCH models for volatility modeling.

Structural Modelling and the Kalman Filter: Time Series

Explores structural modelling in time series and introduces the Kalman filter for prediction and estimation.

Financial Time Series: Stylized Facts and Models

Explores financial time series, including ARMA and GARCH processes, emphasizing risk estimation.

Kalman Filter: Time Series

Covers structural modeling, state space models, and the Kalman filter in time series analysis.

Stylized Facts: Reproducible Research

Covers stylized facts in finance and reproducible research in scientific computing.

Long Memory and ARCH: Time Series

Explores long memory in time series and ARCH models for financial volatility.

Quantitative Risk Management: Volatility Modeling

Covers volatility modeling in quantitative risk management, including ARMA, ARCH, GARCH models, and forecasting.

Time Series: Structural Modelling and Kalman Filter

Covers structural modelling, Kalman Filter, stationarity, estimation methods, forecasting, and ARCH models in time series.

Time Series: Parametric Estimation

Covers parametric estimation, seasonal modeling, Box-Jenkins methods, variance calculations, and dependence measures in time series analysis.

Kalman Filter: Linearized vs Extended

Explores the linearized and extended Kalman Filters, illustrating their application in nonlinear systems and the estimation of unknown parameters.

Time Series: Stochastic Properties and Modelling

Explores the stochastic properties and modelling of time series, covering autocovariance, stationarity, spectral density, estimation, forecasting, ARCH models, and multivariate modelling.

Interest Rate Derivatives: Caps and Floors

Explores interest rate derivatives, specifically caps and floors, cap-floor parity, pricing formulas, and implied volatilities.

Swaptions: Interest Rate Models

Covers swaptions, moneyness, callable bonds, pricing formulas, and implied volatilities.

Financial Innovation: Implied Volatility Log in to Mediaspace to watch this video

Delves into implied volatility, historical volatility, option pricing implications, and various volatility models in financial innovation.

Financial Time Series Analysis Log in to Mediaspace to watch this video

Covers stylized facts of asset returns, summary statistics, testing for normality, Q-Q plots, and efficient market hypothesis.

Parametric Signal Models: Matlab Practice Log in to Mediaspace to watch this video

Covers parametric signal models and practical Matlab applications for Markov chains and AutoRegressive processes.

Time Series Models: Autoregressive Processes Log in to Mediaspace to watch this video

Explores time series models, emphasizing autoregressive processes, including white noise, AR(1), and MA(1), among others.

Course Overview & Introduction to OLS Log in to Mediaspace to watch this video

Introduces the FIN-403 Econometrics course, emphasizing practical application of standard econometric models like Ordinary Least Squares (OLS) in economic and financial contexts.