Courses

Business & Economics > Finance


Course
Impact Of Covid-19 On Financial Markets
Lecturer
Holov Nabijon
University
Tashkent State University of Economics
Period
Spring 2021
Language
English

Keyword

Syllabus

The original contribution of this course is to empirically document the contagion of the Covid-19 on financial markets. We merge databases from Johns Hopkins Coronavirus Center, Oxford-Man Institute Realized Library, NYU Volatility Lab, and St-Louis Federal Reserve Board. We deploy three types of models throughout our experiments: (i) the Susceptible-Infective-Removed (SIR) that predicts the infections’ peak on 2020-03-27; (ii) volatility (GARCH), correlation (DCC), and risk-management (Value-at-Risk (VaR)) models that relate how bears painted Wall Street red; and, (iii) data-science trees algorithms with forward prunning, mosaic plots, and Pythagorean forests that crunch the data on confirmed, deaths, and recovered Covid-19 cases and then tie them to high-frequency data for 31 stock markets.

Courses List

No. Course Format File Date
1 Lecture 1 2021-07-20
2 Lecture 2 2021-07-20
3 Lecture 3 2021-07-20
4 Lecture 4 2021-07-20
5 Lecture 5 2021-07-20
6 Lecture 6 2021-07-20
7 Lecture 7 2021-07-20
8 Lecture 8 2021-07-20
9 Lecture 9 2021-07-20
10 Lecture 10 2021-07-20
11 Lecture 11 2021-07-20
12 Lecture 12 2021-07-20
13 Lecture 13 2021-07-20
14 Lecture 14 2021-07-20
15 Exam 2021-07-20
16 Additional Materials 2021-07-20

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