Description

Notes based on the material from all lectures and weekly readings. Topics include: - Preliminaries (Slide 0) - Linear Time Series Analysis (Slide 1a, 1b & 1c) - Conditional Heteroskedastic Models (Slide 2a & 2b) - High-Frequency Data Analysis & Market Microstructure (Slide 3) - Continuous Time Models and Option Pricing (Slide 4a & 4b) - Extreme Values, Quantiles and Value-at-Risk (Slide 5) These notes helped me do extremely well and so would highly recommend them!!


USYD

Semester 2, 2020


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15,989 words

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USYD, Camperdown/Darlington

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March 2017