Mathematical Statistics and Financial Time Series

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