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Financial Econometrics

This class was created by Brainscape user Sarah Inman. Visit their profile to learn more about the creator.

By: Sarah Inman
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Decks in this class (10)

Linear Time Series Models
Rt is weakly stationary if
35  cards
Linear Time Series Prediction
Ar 1 forecastingthe multiple step...,
Ar 1 forecastingthe variance,
Ma 1 forecasting remarksthe multi...
11  cards
Volatility Modelling - ARCH
Volatility clustering,
8  cards
Volatility Modelling - GARCH
10  cards
Asymmetric volatility
The leverage effect definition,
The leverage effect explanation,
Negative sign bias test
15  cards
Time Series
Dickey fuller test,
Dickey fuller test problem,
Augmented dickey fuller test
10  cards
Volatility Forecasting
Which model should i adopt for th...,
How should i evaluate different m...,
Why are the mse and ql the right ...
16  cards
Conditional distribution of returns
What do we know about the distrib...,
What does the fat tailedness of r...,
Fat tails are a fact of life
17  cards
Covariance Modeling
Properties of t,
Challenges of multivariate modeling,
Aims of multivariate covariance m...
19  cards
DCC
Dcc models are based on the idea of,
Dcc models require,
Dcc hack 1
7  cards

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Financial Econometrics

  • Class purpose General learning

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