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Measuring and Forecasting Volatility and Risk

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  • General description

    This course provides a presentation of state-of-the-art methodologies for the analysis of volatility, correlations, networks and transmission of financial and macro time series, with applications to systemic risk measurement.

    The course begins by introducing GARCH models for the analysis of time-varying volatility and DCC models for time-varying correlations. These time series techniques are then used to construct popular measures of systemic risk, recently proposed in the literature: CoVaR and SRISK. In the last day, instructors will focus on the advanced details of networks, connectedness and transmission. During the sessions, instructors will also introduce the algorithms to deal with large data sets.

    The course is divided in theory and practice sessions. Theory classes will introduce the methodology whereas practice session will illustrate the techniques introduced in the course on real datasets.

  • Topics covered

    • Volatility Models
    • Correlation Models
    • Systemic Risk Measurement
    • Networks: connectedness and spillovers
    • Estimation in large systems: shrinkage and machine learning

  • What you will learn

    By participating in this course, you will learn:

    • State-of-the-art models for forecasting volatility and correlation.
    • Systemic Risk Measurement.
    • How to use volatility and correlation models in practice.
    • Apply time series techniques to the study of connectedness, spillovers, risk and contagion.
    • Using the BEARE toolboox.

  • How the course will work

    The course is divided in theory and practice sessions. Theory classes will introduce the methodology whereas practice session will illustrate the techniques introduced in the course on real datasets.

    A certificate of attendance will be provided to all participants after the course.

  • Meet the instructors

    Christian Brownlees is Assistant Professor at UPF and Associate Research Professor of the Barcelona GSE. He received his degree in Economics and Quantitative Methods in 2003 and Ph.D. degree in Statistics in 2007 from the Universita’ di Firenze. Between 2007 and 2011 he was a Post-Doc Research Fellow at NYU Stern under the supervision of the Nobel laureate Robert Engle. Christian’s research focuses on developing and applying time series techniques for the analysis of risk in the financial markets. In particular, Christian’s research focuses on volatility, systemic risk and network models. Christian’s publications include contributions in the Journal of Econometrics, The Annals of Statistics and The Review of Financial Studies.

    Fabio Canova is Professor of Macroeconomics at the Norwegian Business School, Director of Training of the Florence School of Banking and Finance, Research associate with the Centre for Applied Macroeconomics and Petroleum Studies and the CEPR. He is also program director of the Budapest School of Central Bank Studies, Director of the International Association of Applied Econometrics, member of the scientific committee of the Euro Area Business Cycle network, a research visitor at the Norges Bank, and editor of the Journal of Applied Econometrics. He has taught classes in numerous universities and given professional courses at many central Banks and international istitutions. He has published over 85 articles in international journals.

  • Prerequisites

    Degree in Economics or Statistics; knowledge of basic estimation techniques.

    Technical prerequisite 

    Participants must attend the course with the BEAR toolbox in the Matlab software installed on their computers. More information and download: https://www.ecb.europa.eu/pub/research/working-papers/html/bear-toolbox.en.html

  • Fees

    1750€ – Public Authorities (e.g. National Competent Authorities, Central Banks) and European Institutions

    2250€ – Private Sector

    1000€ – Research assistants or Associate Professors

    850€ – Students (with certificate of studies)

    The course fee covers coffee and lunch breaks. Travel and hotel costs are not included.


    CANCELLATION POLICY

    • In case a course is cancelled, registered participants will receive the full refund.
    • In case a course is moved to another date, registered participants may request a voucher to attend another FBF course.
    • Registered participants who cancel their participation will receive a voucher to attend another FBF course.

    For more details, please contact fbf@eui.eu
  • Practical information

    This course is jointly organised by the FBF and the Barcelona Graduate School of Economics.

    Barcelona GSE

    Location 

    The course will take place in Barcelona, Spain.

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    For general queries: fbf@eui.eu

  • Course material

    Registered participants can access the course material using the password provided by the FBF secretariat.