This course is co-developed with Lancaster University.
At times of great uncertainty for financial markets, this course provides participants with an understanding of the time series methods involved in modelling and forecasting financial markets volatilities. Participants will learn how to build, estimate and assess alternative models of volatility of financial time series. Each concepts will be explained from an econometric perspective and by means of many examples and applications in Eviews or Oxmetrics
Co movements and correlation of financial returns help to explain crisis transmission in the markets , this course provides participants with an in depth understanding of multivariate GARCH models and their use in forecasting co movements and crisis transmission between financial markets.
Students are eligible for a subsidised place, find out how to apply here.
This comprehensive webinar is hosted through Zoom and runs over a total of 9 hours, with 4 hours each day (2 in the morning and 2 in the afternoon) with an extra Q&A session on the second day.