Correlations and Copulas
[vsw id=”yFl5kq4JN_E” source=”youtube” width=”611″ height=”344″ autoplay=”no”] After completing this reading you should be able to: Define correlation and covariance and differentiate between correlation and dependence. Calculate covariance using the EWMA and GARCH(1,1) models. Apply the consistency condition to covariance. Describe…
FRM Part I & II Curriculum
FRM Part I Thinking about taking on the FRM syllabus? The Financial Risk Manager (FRM) course syllabus is designed for those who want to lead in financial risk management. It’s structured to ensure you gain a deep understanding of everything…
Modeling and Forecasting Trend
After completing this reading you should be able to: Describe linear and nonlinear trends. Describe trend models to estimate and forecast trends. Compare and evaluate model selection criteria, including mean squared error (MSE), s2, the Akaike information criterion (AIC), and…
Characterizing Cycles
[vsw id=”eC9QCBH5K0g” source=”youtube” width=”611″ height=”344″ autoplay=”no”] After completing this reading you should be able to: Define covariance stationary, autocovariance function, autocorrelation function, partial autocorrelation function, and autoregression. Describe the requirements for a series to be covariance stationary. Explain the implications…
