MODELLING VOLATILITY AND CONTAGION IN FINANCE (Online)

MODELLING VOLATILITY AND CONTAGION IN FINANCE (Online)

Posted on

Start Date

End Date

Application Deadline

Type

Professional training

Reference Number

D-EF37-OL

Certifications & Titles

certificate of participation

Study Options

Part Time

Fees

Regular fees: 355 - 675 EUR

Comment:

Please Note:

  1. To be eligible for student prices, participants must provide proof of their full-time student status for the current academic year.
  2. Fees are subject to VAT (applied at the current Italian rate of 22%). Under current EU fiscal regulations, VAT will not however applied to companies, Institutions or Universities providing a valid tax registration number.
  3. The number of participants is limited to 8. Places, will be allocated on a first come, first serve basis. The course will be officially confirmed, when at least 5 individuals are enrolled.
  4. Course fees cover: course materials (handouts, Stata do files and datasets to be used during the course), a temporary licence of Stata valid for 30 days from the beginning of the course.

To facilitate participation for our clients based in both Europe/Middle East and North and South America, we have programmed both a morning and afternoon session of this course.

Time Zone (1) from 8.00 am to 11.30 am CET

Time Zone (2) from 3.00 pm – 6.30 pm CET

 

The growth in financial instruments during the last decade has resulted in a significant development of econometric methods (financial econometrics) applied to financial data. The objective of our Modelling Volatility and Contagion in Finance course is to provide participants with a comprehensive overview of the principal methodologies, both theoretical and applied, adopted for the analysis of risk in financial markets. The course therefore, focuses on the modelling and forecasting of financial time series of asset returns; the modelling of cross market correlations, volatility spillovers and contagion in financial asset markets. During the course, a number of alternative GARCH models and models of conditional correlations will be reviewed.

 

Program Overview:

                                Session I: Volatility Models â€“ GARCH Models

                                Session II: Multivariate Volatility (MGARCH) Models and Contagion

A more detailed program  is availble here.

Course Leader: Professor Giovanni Urga

Course Prerequisites:

Participants should have a knowledge of the inferential statistics and introductory econometric methods illustrated in Brooks (2019)

Course Structure:

In common with TStat’s training philosophy, throughout the course the theoretical sessions are reinforced by case study examples, in which the course tutor discusses current research issues, highlighting potential pitfalls and the advantages of individual techniques. The intuition behind the choice and implementation of a specific technique is of the utmost importance. In this manner, course leaders are able to bridge the “often difficult” gap between abstract theoretical methodologies, and the practical issues one encounters when dealing with real data. At the end of the course, participants are expected to be able to autonomously implement the theories and methodologies discussed in the course.

The course will take place online via TStat Training's Virtual Classroom Portal

More Information

Application Information

Full Name
Cover Letter
Password
Your Account Password

Attendance

Online

Posted on

Start Date

End Date

Application Deadline

Type

Professional training

Reference Number

D-EF37-OL

Certifications & Titles

certificate of participation

Study Options

Part Time

Fees

Regular fees: 355 - 675 EUR

Comment:

Please Note:

  1. To be eligible for student prices, participants must provide proof of their full-time student status for the current academic year.
  2. Fees are subject to VAT (applied at the current Italian rate of 22%). Under current EU fiscal regulations, VAT will not however applied to companies, Institutions or Universities providing a valid tax registration number.
  3. The number of participants is limited to 8. Places, will be allocated on a first come, first serve basis. The course will be officially confirmed, when at least 5 individuals are enrolled.
  4. Course fees cover: course materials (handouts, Stata do files and datasets to be used during the course), a temporary licence of Stata valid for 30 days from the beginning of the course.

To facilitate participation for our clients based in both Europe/Middle East and North and South America, we have programmed both a morning and afternoon session of this course.

Time Zone (1) from 8.00 am to 11.30 am CET

Time Zone (2) from 3.00 pm – 6.30 pm CET