Financial Econometrics II
TOPICS
TOPICS
Block One: Forecasting and simulating the economy with ARMA and VAR models
Block One: Forecasting and simulating the economy with ARMA and VAR models
Introduction to R
ARMA models
VAR models
Forecast evaluation
Block Two: Forecasting the risk of a portfolio
Block Two: Forecasting the risk of a portfolio
GARCH models
MGARCH models
Copulas
Backtesting
MATERIALS AND DATASETS
MATERIALS AND DATASETS
All materials for the course can be found on the webpage of prof. Michał Rubaszek.
HOMEWORK ASSIGNMENTS
HOMEWORK ASSIGNMENTS
To be disseminated.
LITERATURE AND USEFUL LINKS
LITERATURE AND USEFUL LINKS
Obligatory literature can be found on the webpage of prof. Michał Rubaszek.
EVALUATION CRITERIA FOR FULL-TIME STUDENS
EVALUATION CRITERIA FOR FULL-TIME STUDENS
Points
Points
Traditional exam: 10 points
Two presentations: 24 points
Active participation: 3 points
All students must earn at least 30% of points before taking the exam.
Grades
Grades
[0-15) - 2
[15 - 19) - 3
[19 -23 ) - 3+
[23 - 27) - 4
[27 - 31) - 4+
[31-37] - 5
EVALUATION CRITERIA FOR PART-TIME STUDENTS
EVALUATION CRITERIA FOR PART-TIME STUDENTS
Points
Points
Traditional exam: 10 points
One presentation: 12 points
Active participation: 3 points
All students must earn at least 30% of points before taking the exam.
Grades
Grades
[0-11) - 2
[11- 14) - 3
[14 -27 ) - 3+
[17- 20) - 4
[20 - 23) - 4+
[23-25] - 5