|
week
|
Lectures
(Thu 14:15) |
Practices (Thu, 16:00)
|
| 1 |
Repetition
of probability theory:
limit theorems, stable distributions, domain of attraction
(10 Febr.) |
R
introduction, simulations, tools
for goodness of fit
(10 Febr)
R code
Shiny applet |
| 2 |
Multivariate
stable distributions.
Extreme-value distributions, max-domains
of attraction (17 Febr.) |
Calculations
with characteristic functions, stable distributions (17
Febr)
R code |
| 3 |
Parameter
estimation, confidence
intervals in extreme-value models,
the effect of serial dependence
(24 Febr.) |
Bivariate
stable, extreme-value
distributions (24
Febr)
R code |
| 4 |
Multivariate
extreme-value distributions , Peaks
over threshold models in one dimension (3
March) |
Extreme-value
distributions
(contd), (3
March)
R code |
| 5 |
Multivariate
POT models, point
processes,
Hill estimator
(10 March) |
Bivariate extreme value models
(10
March)
Project
to be solved
R code Bivariate
extreme-value models (theory) |
| 6 |
Bootstrap
(17 March) |
Peaks
over threshold models
(17 March)
R code Theory
|
| 7 |
Elliptic
distributions,copulas
with
applications
(24 March) |
Bootstrap
(24 March)
R code
|
| 8 |
Goodness
of fit for copulas,
problems
in higher dimensions
(31 March) |
Copulas
(31 March)
R code Theory |
| 9 |
Random
matrices, portfolio
optimisation and instability, risk measures (7
Apr) |
Copulas
(contd), Vine copulas
(7
Apr)
R code |
|
SPRING Break |
SPRING Break |
| 11 |
Portfolio
optimisation and instability, ARCH-GARCH models.
(21
Apr) |
Portfolio
optimisation and
instability: R code (21
Apr) |
| 12 |
The
crisis in 2007-2009 and its effect,
stress testing, machine learning (28
Apr) |
Random
matrices, sample
exam
(28 Apr) R code |
|
PÁZMÁNY day |
PÁZMÁNY day |
| 14 |
Legislational
questions. Guest professor: Miklós Véber (Morgan
Stanley, 12 May) |
written
exam (12 May) |