Sumários

Lecture 12

24 Novembro 2025, 18:00 • PAULO MIGUEL DIAS COSTA PARENTE

Exercise Sheet 6: Exercise 2b

Exercise Sheet 5: Exercise 4
Exam 2021/2022: Question 1(a)

Lecture 11

17 Novembro 2025, 18:00 • PAULO MIGUEL DIAS COSTA PARENTE

Multivariate Time Series Models
  • Vector autoregressive models
  • Estimation and testing of VAR models
  • Impulse response functions
  • Granger Causality.
  • Structural VAR
  • Forecasting VAR models
Exercise sheet 6: Exercise 1, 2a

Lecture 10

10 Novembro 2025, 18:00 • PAULO MIGUEL DIAS COSTA PARENTE

Exercise sheet 5: Exercises 3b,c and d.


Multivariate Time Series Models
  • Stationary multivariate time series
  • Vector autoregressive models

Lecture 9

3 Novembro 2025, 18:00 • PAULO MIGUEL DIAS COSTA PARENTE

Univariate time series modelling

  • Box Jenkins Methodology
  • Forecasts
Exercise sheet 5: Exercises 1a, 2a, 3,a,b (incomplete)

Lecture 8

27 Outubro 2025, 18:00 • PAULO MIGUEL DIAS COSTA PARENTE

Univariate time series modelling
  • ARMA processes