Introduction to R, Data Retrieval, and Return Calculation-Introduction
Introduction
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Exercise 1 - Introduction to R and R Studio
Introduction to R, Data Retrieval, and Return Calculation-Retrieving Data from FRED
Retrieving Data from FRED
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Introduction to R, Data Retrieval, and Return Calculation-Calculating Daily Returns
Calculating Daily Returns
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Introduction to R, Data Retrieval, and Return Calculation-Calculating Longer Returns
Calculating Longer Returns
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A Simple Example
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Introduction to R, Data Retrieval, and Return Calculation-Week 1 Graded Quiz
Week 1 Quiz Instructions
Risk Management under Normal Distributions-Distribution of Returns
Distribution of Returns
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Risk Management under Normal Distributions-Value-at-Risk (VaR)
Value-at-Risk (VaR)
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Risk Management under Normal Distributions-Expected Shortfall (ES)
Expected Shortfall (ES)
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Risk Management under Normal Distributions-Using Simulation to Estimate VaR and ES
Using Simulation to Estimate VaR and ES
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Risk Management under Normal Distributions-Week 2 Graded Quiz
Week 2 Quiz Instructions
Risk Management under Non-normal Distributions-Non-normal Distributions
Non-normal Distributions
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Risk Management under Non-normal Distributions-Student-t Distribution
Student-t Distribution
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Rescaled t Distribution Model
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Risk Management under Non-normal Distributions-Estimating VaR and ES for Multi-day Horizon
VaR and ES for Multi-day Horizon
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Risk Management under Non-normal Distributions-Week 3 Graded Quiz
Week 3 Quiz Instructions
Risk Management under Volatility Clustering-Serial Correlation, Volatility Clustering, and GARCH
Future vs Historical Distribution
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Volatility Clustering
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GARCH
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Estimation: rugarch Package
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GARCH(1,1) - t
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Diagnostic Tests
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Risk Management under Volatility Clustering-VaR and ES for GARCH Bootstrap
Using the ugarchboot Function
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Using the ugarchroll Function
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Risk Management under Volatility Clustering-Course Summary
Course Summary
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Risk Management under Volatility Clustering-Week 4 Graded Quiz
Week 4 Quiz Instructions