Welcome to the home page for Statistics 810-006. You will
find all the course information through this page.
Course Information
Background Reading
Online Resources
- Various R scripts
- Various data sets
- SAS
notes on ARCH/GARCH modeling.
- A
glossary to ARCH (GARCH), assembled by Tom
Bollserslev
- A review
of Multivariate GARCH models
- The R-project home
page
- News items:
- David Li's article
on copulas
- Wikipedia entry
on the LIBOR fixing scandal
- WSJ
item: Greece's restructuring did not trigger CDS
payments
- Reuters
item: Greek legislation did trigger CDS
payments
- U.S. Senate Permanent Subcommittee on Investigations
report on the JPMorgan Chase "whale" trades
- Papers on measures of risk:
- Slides:
- Value at Risk:
- Basel III