Measuring the dependence of returns among the investing assets is a very important element in modern risk management. In the presentation, Professor Davidovic demonstrates how to apply MATLAB to develop copula cross-market dependence measures in the context of major economic (economic policy changes, federal funds rate changes, etc.) and non-economic (pandemic, political events, etc.) events within the observed period. You will learn dependence measures using different copula families (both parametric and non-parametric) based on high-frequency data.
This event is sponsored by Finance Group and the MathWorks Lab for Fintech and Quantitative Business Analysis of the DMSB, Northeastern University
