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447-6191-00L 2 Credits WBZ D-MATH
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Statistical Analysis of Financial Data

Lecturers & Examiners: Dr. Marcel Dettling, Prof. Dr. Andreas Franz Ruckstuhl
Special Students "University of Zurich (UZH)" in the Master Program in Biostatistics at UZH cannot register for this course unit electronically. Forward the lecturer's written permission to attend to the Registrar's Office. Alternatively, the lecturer may also send an email directly to . The Registrar's Office will then register you for the course.
VVZ CR n/a

Last Updated: 2026-02-05 16:29:40

Abstract

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.

Objective

Getting to know the typical properties of financial data and appropriate statistical models, incl. the corresponding functions in R.

General Information

Language
English
Levels
WBZ
Frequency
Every two years

Examination

Type
ungraded semester performance

Course Components

Type Title Time & Place Hours
lecture with exercise Statistical Analysis of Financial Data
Block course. For further information see
  • 13.01 Date 14:15-18:00 (HG E 41)
  • 20.01 Date 08:15-12:00 (HG E 41)
  • 20.01 Date 14:15-18:00 (HG E 41)
  • 27.01 Date 08:15-12:00 (HG E 41)
  • 27.01 Date 14:15-18:00 (HG E 41)
17.5 h semesterly

Offered In