Financial modelling with PcGive & G@RCH
Date:
21/05/2012 - 22/05/2012
Organised by:
Timberlake Consultants Ltd
Presenter:
Timberlake Consultants Ltd
Level:
Intermediate (some prior knowledge)
Contact:
Timberlake Consultants Ltd
Email: training@timberlake.co.uk
Telephone: +44 (0) 20 8697 3377
Prof. Giovanni Urga, Cass Business School, London
This course provides a review and practical guide to several major and popular econometric methodologies used to modelling financial time series, via univariate and multivariate GARCH models, dynamic conditional correlation models to measure integration and/or contagion effects, the use of factor models to extract market information. The econometric techniques will be illustrated using real world financial time series such as interest rate, asset prices and forex time series, using PcGive 13 and G@RCH 6.
Topics Include
Volatility and forecasting I: Univariate GARCH, theory and applications
Volatility and forecasting II: Multivariate GARCH , theory and applications
Measuring contagion among stock markets
Extracting common returns factors across markets
The impact of macro-announcements on the term structure, foreign exchange rates and asset prices.
Target Group:
This course is aimed at economists, financial economists and applied econometricians who deal with different types of data and projects in their day-to-day work. Professionals who are interested to learn different techniques and raise their awareness of possible methodologies that can be used in their current or future projects will greatly benefit from this course.
Prerequisites:
Knowledge of statistics and regression analysis. Experience with PcGive and G@RCH is not required. Previous experience with econometrics is desirable.
Website and registration:
Region:
Greater London
Keywords:
Observation, Data Quality and Data Management , Data Editing, Data Quality and Data Management (other), Regression Methods, Time Series Analysis, Quantitative Approaches (other), OxMetrics, PcGive, G@rch, Financial Modelling, Prof. Giovanni Urga, Cass Business School, London, timberlake, software, volatility, Garch,
Related publications and presentations from our eprints archive:
Observation
Data Quality and Data Management
Data Editing
Data Quality and Data Management (other)
Regression Methods
Time Series Analysis
Quantitative Approaches (other)