<r>CarolynTCheck outPoon, Ser-Huang and Granger, Clive W.J., "Forecasting Volatility in Financial Markets: A Review (revised edition)" (September 18, 2002). <URL url="http://ssrn.com/abstract=331800">http://ssrn.com/abstract=331800</URL> Which compares forecasting using garch / volatility time serie...

<r>Check out Embrecht's paper which describes the limitations of correlation as a measure of dependency.<URL url="http://www.math.ethz.ch/~strauman/preprints/pitfalls.pdf"><LINK_TEXT text="http://www.math.ethz.ch/~strauman/prepr ... tfalls.pdf">http://www.math.ethz.ch/~strauman/preprints/pitfalls.pd...

<t>Think the idea here is to test the (standardised) residuals for autocorrelation (and for normality)If the model is ok the residuals should be representative of white noise.GARCH typically removes some but not all of the heteroskedasticity Depending on your implementation you may be able to draw t...

<t>Think the idea here is to test the (standardised) residuals for autocorrelation (and for normality)If the model is ok the residuals should be representative of white noise.GARCH typically removes some but not all of the heteroskedasticity Depending on your implementation you may be able to draw t...

<r>Very useful practical book is Modeling Financial Time Series With S-PLUS - Zivot and WangProblem is that you need S-PLUS with the S+FinMetrics extension to gain the benefit.But if you can get that its brilliant. Covers each topic in a focused practical manner with a concise references section at ...

<t>I've just completed the CASS MSc in Financial Maths and found it to be excellent on the whole. This was the first year and I expect it to better in the future as teething problems were mostly worked out this year. The other (and older) programmes don't have the theoretical rigour of say Imperial'...