18 June 2010; Mat-Nat Faculty (UiTø), seminar room 208 B, Breivang. Friday 13:15-14:15.

Ola Løvsletten

"Modeling financial time series".

I'll give a brief review of selfsimilar and multifractal processes, before we have a closer look at our analysis of financial time series. I will focus on statistical techniques/tools we use such as Maximum Likelihood, measuring dependence and density-estimation. Finally I'll present empirical analysis of three time-series: Dow Jones, S&P 500 and NIBOR.