The object of the 2-day course is to demonstrate the empirical techniques and methods employed to analyze high-frequency data with special emphasis on the calculation of realized measures, forecasting and Monte Carlo methods and design.
Specific Objectives
- Familiarize with Matlab syntax, functions and write own functions
- Computation of realized measures of volatility
- Introductions to theoretical foundations and mathematical models of continuous/discontinuous time modeling
- Forecasting techniques
- Monte Carlo Simulations: Design and implementation.
Day One | Day Two |
|
|
|
|
|
|
|
|
|
|
|
|
|
|