Ali’s blog

Mostly quant stuff with occasional digressions

Online lectures on risk and volatility

Posted by alifinmath on February 5, 2008

The FT has five (short) online lectures on risk and volatility, presented by NYU’s Robert Engle. It will be instructive (particularly for people who’ve not been systematically introduced to ARCH, GARCH, and VaR).

This whole business of time series modeling bothers me no end. The perennial question is, “To what extent can the past be used to predict the future?” Unfortunately, in most courses on econometrics ansd time series modeling, this question tends to get adroitly shuffled under the rug as instructors expound on arcane technical matters. Taleb has an interesting take on the inadequacy of past information — and models based on such information — to predict what may happen in his recent The Black Swan: The Impact of the Highly Improbable, but I’ll cover this in some subsequent post.

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