Introduction to R
ARMA models
VAR models
Forecast evaluation
GARCH models
MGARCH models
Copulas
Backtesting
All materials for the course can be found on the webpage of prof. Michał Rubaszek.
To be disseminated.
Obligatory literature can be found on the webpage of prof. Michał Rubaszek.
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.
[0-15) - 2
[15 - 19) - 3
[19 -23 ) - 3+
[23 - 27) - 4
[27 - 31) - 4+
[31-37] - 5
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.
[0-11) - 2
[11- 14) - 3
[14 -27 ) - 3+
[17- 20) - 4
[20 - 23) - 4+
[23-25] - 5