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Kursets hovedformål er at give en teoretisk og empirisk gennemgang af finansielle volatilitetsmodeller og deres analyse.
Den teoretiske del af kurset vil indeholde modeller for
daglige såvel som højfrekvente data, en- og flerdimensionale
metoder i kontinuert tid. Inden for hvert emne præsenteres
standardmetoderne og deres nyeste udvidelser. Kurset suppleres af
empiriske anvendelser på risikostyring, porteføljestyring og
prissættelsesproblemer.
Emner for kurset:
Introduction to continuous time stochastic processes
:\\
Tsay (2002), Chapter 6 (30 pages)
Realized Variance and Covariation:
Barndorff-Nielsen, O.E. & Shephard, N. (2002), Econometric analysis of realised volatility and its use in estimating stochastic volatility models, Journal of the Royal Statistical Society B 64, 253-280 (27 pages)
Barndorff-Nielsen, O.E. \& Shephard, N. (2004), Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics, Econometrica 72, 885-925 (40 pages)
Market Microstructure and Volatility Estimation:
Hansen and Lunde (2006), Realized variance and market microstructure noise, Journal of Economic and Business Statistics 24, 127-161 (34 pages)
Ait-Sahalia, Mykland, Zhang (2005), A tale of two time scales: Determining integrated volatility with noisy high-frequency data, Journal of the American Statistical Association 100, 1394-1411 (17 pages)
Hayashi and Yoshida (2005), On covariance estimation of non-synchronously observed diffusion processes, Bernoulli 11, 359-379 (20 pages)
Volatility Estimation and Jumps:
Barndorff-Nielsen, O.E. & Shephard, N. (2006), Econometrics of testing for jumps in financial economics using bipower variation, Journal of Financial Econometrics 4, 1-30. (30 pages).
7020 Econometrics. (Or similar background).
Almut Veraart(16h), Valeri Voev (8h). Course responsible: Søren Asmussen.
Forelæsninger integreret med teoretiske og computer øvelser.
4 forelæsninger om ugen i 6-7 uger.
Engelsk.
Tsay, R.S. (2002): Analysis of Financial Time Series: Financial Econometrics, Wiley, New York (30 pages).
Lecture materials which will be posted on the course web page (80 pages).
Articles (197 pages).
Additional literature (optional):
Cont, R. & P. Tankov (2004): Financial Modelling with Jump Processes, Chapman & Hall, New York.
Total number of pages: 30 pages (Tsay) + 197 pages (articles) + 100 pages (lecture materials) = 327 pages.
Institut for Matematiske Fag.
Tilmelding på selvbetjeningen httpæ://mit.au.dk den 1.-15. noveber 2009. Eftertilmeldinger: Kontakt Oddbjørg Wethelund, oddbjorg@imf.au.dk
Efter kurset skal studenten
Mundtlig eksamen bedømt efter den danske 7-trins skala.