Fitting nonlinear regression functions and determining reliable confidence intervals.

In a first part, the basic ideas of robust fitting techniques are explained theoretically and practically using regression models and explorative multivariate analysis.The second part addresses the challenges of fitting nonlinear regression functions and finding reliable confidence intervals.

The basic ideas of robust fitting techniques are explained theoretically and practically using regression models and explorative multivariate analysis.

In a first part, the basic ideas of robust fitting techniques are explained theoretically and practically using regression models and explorative multivariate analysis.The second part addresses the challenges of fitting nonlinear regression functions and finding reliable confidence intervals.

Distributions for financial data. Volatility models: ARCH- and GARCH models. Value at risk and expected shortfall. Portfolio theory: minimum-variance portfolio, efficient frontier, Sharpe’s ratio. Factor models: capital asset pricing model, macroeconomic factor models, fundamental factor model. Copulas: Basic theory, Gaussian and t-copulas, archimedean copulas, calibration of copulas.