ISOM4530 - Statistical Analysis of Financial Data in R
- Statistical analysis of financial data conducted in R
Assignment 1
- Learning Objectives: use R to perform statistical analysis (kernel density estimation, histogram, Q-Q plot, normal distribution, exponential distribution, VaR, expected shortfall) of financial data
Assignment 2
- Learning Objectives: use R to perform statistical analysis (generalized pareto distribution, Monte Carlo simulation, VaR expected shortfall, Q-Q plot, joint normality, quantiles, correlation, independence) of financial data
Assignment 3
- Learning Objectives: use R to perform statistical analysis (capital asset pricing model, Fama-French three-factor model, R-sqr variance, ANOVA, confidence interval, inference, least square regression, least absolute deviation regression, standardized/studentized residuals, prediction - interpolation/extrapolation, perturbed data)
Assignment 4
- Learning Objectives: use R to perform statistical analysis (polynomial LS regression, degree optimization, ANOVA, R-sqr, natural splines, predictions)
Assignment 6
- Learning Objectives: use R to perform statistical analysis (ACF, PACF, AIC, ARIMA, Vasicek model, forecasting, prediction intervals, white noise)
Assingment 7
- Learning Objectives: use R to perform statistical analysis (mixture normal distribution, kurtosis, conditional and unconditional VaR, unconditional expected shortfall ARCH, GARCH, volatility forecast)