logo-eui RSCAS

Measuring and Forecasting Volatility and Risk

When:
May 22, 2018 – May 24, 2018 all-day Europe/Rome Timezone
2018-05-22T00:00:00+02:00
2018-05-25T00:00:00+02:00
Where:
Barcelona
Barcelona
Spain
Contact:
FBF Secretariat
[+39] 055 4685739

Course Instructors: Christian Brownlees (Universitat Pompeu Fabra), Fabio Canova (FBF and BI Norwegian Business School)
Area: Statistical and Econometric Methods
Level: Intermediate/Advanced

This course will focus on the following topics:

  • Estimation and forecasting.
  • Models of time varying correlations: estimation and forecasting.
  • VaR and Systemic risk: measures and forecasting techniques.

This course is targeted at Financial Stability and Research departments in central banks, Ph.D. and Post-doctoral researchers, Assistant Professors, Research department officers of private banks, EU institutions.

Click here for further information and registration