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.

Financial Innovation: Implied Volatility

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

Long Memory and ARCH: Time Series Math 342

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

Financial Time Series Analysis

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

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.

Parametric Signal Models: Matlab Practice

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

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.

Time Series Models: Autoregressive Processes

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

Course Overview & Introduction to OLS

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

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.

Black-Scholes Formula: Risk-neutral Pricing and Option Pricing

Explores the Black-Scholes formula for option pricing and risk-neutral pricing in financial economics.

Principles of Finance: Efficient Portfolios and Risk Management

Explores efficient portfolios, risk management, and the CAPM model in finance.

Financial Applications of Blockchains

Explores the financial applications of blockchains, including DeFi, lending protocols, DAOs, flash loans, and token-based insurance solutions.

Principles of Finance: Risk and Return

Explores risk and return in finance, covering securities' performance, rates of return, variance, volatility, and portfolio diversification.

Time Series: Structural Modelling and Kalman Filter

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

Kalman Filter: State Space Models

Introduces the Kalman Filter for estimating the state of a dynamic system from noisy measurements, covering prediction, updating, and filtering steps.