ECMT3150 Complete and Comprehensive HD Notes

Description

Notes based on the material from all lectures and weekly readings. Topics include: - Preliminaries (Slide 0) - Linear Time Series Analysis (Slide 1a, 1b & 1c) - Conditional Heteroskedastic Models (Slide 2a & 2b) - High-Frequency Data Analysis & Market Microstructure (Slide 3) - Continuous Time Models and Option Pricing (Slide 4a & 4b) - Extreme Values, Quantiles and Value-at-Risk (Slide 5) These notes helped me do extremely well and so would highly recommend them!!