|
week
|
Lectures
(Thu 16:00) |
Practices (Thu, 14:00)
|
| 1 |
Repetition
of probability theory:
limit theorems, stable distributions, domain of attraction
(March 2) |
R
introduction, simulations, tools
for goodness of fit
(March 2)
R code
Shiny applet |
| 2 |
Multivariate
stable distributions.
Extreme-value distributions, max-domains
of attraction (March 9) |
Calculations
with characteristic functions, stable distributions (March 9)
R code |
| 3 |
Parameter
estimation, confidence
intervals in extreme-value models,
the effect of serial dependence
(March 16) |
Bivariate
stable, extreme-value
distributions (March 16)
R code |
| 4 |
Multivariate
extreme-value distributions , Peaks
over threshold models in one dimension (March 23) |
Extreme-value
distributions
(contd), (March 23)
R code |
| 5 |
Multivariate
POT models, point
processes,
Hill estimator
(March 30) |
Bivariate extreme value models
(March 30)
Project
to be solved
R code Bivariate
extreme-value models (theory) |
| 6 |
Bootstrap
(April 6) |
Peaks
over threshold models
(April 6)
R code Theory
|
| 7 |
Elliptic
distributions,copulas
with
applications
(April 13) |
Bootstrap
(April 13)
R code
|
| 8 |
Goodness
of fit for copulas,
problems
in higher dimensions
(April 20) |
Copulas
(April 20)
R code Theory |
| 9 |
Random
matrices, portfolio
optimisation and instability, risk measures (Apr 27) |
Copulas
(contd), Vine copulas
(April 27)
R code |
| 11 |
Portfolio
optimisation and instability (cont.), ARCH-GARCH models.
(May 4) |
Portfolio
optimisation and
instability: R code (May 4) |
|
Eötvös day |
Eötvös day |
| 12 |
The
crisis in 2007-2009 and its effect,
stress testing, machine learning (May 18) |
Random
matrices, sample
exam
(May 18) R code |
| 14 |
Legislational
questions. Guest professor: Miklós Véber (Morgan
Stanley, May 25) |
written
exam (May 25) |