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EXTREME VALUES AND VALUE AT RISK

By B. Tuesday Pm, Robert Engle and T Chapter

Abstract

Course Description: The course is designed to introduce the econometric tools most used in finance and to gain understanding of the sources and characteristics of financial data. We will use Datastream or other vendors as a source for financial data, and EViews software to build ARCH and other time series models. There will be homework and a paper but no exam. There is a lot of reading. The bold references will be distributed one week in advance. The others will be available for lending in my office. The homework assignments will frequently be computer exercises which will be presented in class. EViews is available in the computer lab but I recommend that you buy a copy or upgrade to version 4.0 which has ARCH software as well as GMM, cointegration etc. This course presumes familiarity with finance as well as a course in graduate econometrics. Idea

Topics: PRICING AND HEDGING OPTIONS
Year: 2011
OAI identifier: oai:CiteSeerX.psu:10.1.1.198.4225
Provided by: CiteSeerX
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