Lecture 13

12 Dezembro 2019, 18:00 • Paulo Parente

Exercise sheet 8: Exercises 2 and 3

Exercise sheet 6: Exercises 2(c) and 3

Exercise sheet 7: Exercise 3

---

Lecture 12

5 Dezembro 2019, 18:00 • Paulo Parente

    Multivariate Time Series Models
    Outline:

   ∙  Forecasting VAR models

Exercise Sheet 7: Exercise 1

    Advanced Topics in Unit Roots and Cointegration
    Outline:

  ∙  Unit roots
  ∙  Cointegration and common trends
  ∙  The single equation approach.
      -  Engle-Granger procedure
      -  Estimation of the cointegrating vector
  ∙  The system equation approach.
      -  Johansen cointegration test and Error correction models
      -  Hypothesis testing on the cointegrating vectors

---

Lecture 11

28 Novembro 2019, 18:00 • Paulo Parente

    Multivariate Time Series Models
    Outline:

  ∙  Stationary multivariate time series
  ∙  Vector autoregressive models
  ∙  Estimation and testing of VAR models
  ∙  Impulse response functions
  ∙  Granger Causality.
  ∙  Structural VAR

---

Lecture 10

21 Novembro 2019, 18:00 • Paulo Parente

Modelling volatility: GARCH Models
    Topics:

  ∙  Estimation of GARCH models
  ∙  Testing of GARCH models
  ∙  Asymmetry and the news impact curve
  ∙  GARCH-in-mean
  ∙  Non-Gaussian Likelihoods for GARCH models.
  ∙  Specification Testing in GARCH models
  ∙  Volatility forecasting

 

Exercise sheet 6: Exercise 1

---

Lecture 9

14 Novembro 2019, 18:00 • Paulo Parente

Exercise Sheet 5, Exercises 1(a), 2(a), 4

Modelling volatility: GARCH Models

•    Volatility: historical, RiskMetrics
•   The ARCH and GARCH models

---