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[R] Statistical analysis of financial data conducted in R

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financial-analysis-r

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)