Lectures
Wednesdays, 4:45 - 6:15 p.m., Room SN 19.4
Thursdays, 8:00 - 9:30 a.m., Room SN 19.3
First appointment on wednesday, October 27, 2021
Exercises
Mondays, 8:00 - 9:30 a.m., Room SN 19.4
First appointment on monday, November 1, 2021
The course is aimed at Master's students of mathematics, financial and business mathematics and data science.
The course is held in English.
Contents
Optimal estimation and testing procedures and confidence intervals
High-dimensional linear regression
Classification
Financial time series and their stylized facts
Volatility estimation and GARCH(p,q) models
Term structure models
