Vienna, May 2011 - Advanced Topics in Financial Econometrics Lectures

Diethelm Wuertz presents 7 lectures in "Advanced Topics in Financial Econometrics" at University of Economics and Business, Vienna, Austria. Dates: May 5/6, May 12/13, May, 19/20, May 25.

Topics include:

  • Lecture 1: Financial ime Series and their Characteristics
  • Lecture 2: Analysis of Extreme Values in Financial Time Series
  • Lecture 3: Volatility Modeling and Forecasting of Financial Time Series
  • Lecture 4: Mean Variance Portfolio Optimization
  • Lecture 5: Portfolio Estimation Errors and Robustification
  • Lecture 6: Scenario Optimization and Nonlinear Risk Measures
  • Lecture 7: Portfolio Performance Analysis

Contact: wuertz [at] phys.ethz.ch