Measuring and Forecasting Volatility and Risk
Course Instructors: Christian Brownlees (Universitat Pompeu Fabra), Fabio Canova (FBF and BI Norwegian Business School)
Area: Statistical and Econometric Methods
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.