Sumários

project presentation

19 Maio 2022, 10:00 • Nuno Paulo De Sousa Arrobas Crato

Projects presentation and discussion

Stylised facts of financial time series + project presentations

12 Maio 2022, 10:00 • Nuno Paulo De Sousa Arrobas Crato

Stylised facts of financial time series

Varying volatility and ARCH models

Project presentations

Group work presentation

5 Maio 2022, 10:00 • Nuno Paulo De Sousa Arrobas Crato

Group work presentation and discussion

ARIMA forecasts and Estimation Methods

28 Abril 2022, 10:00 • Nuno Paulo De Sousa Arrobas Crato

5.4. ARIMA forecasts as weighted averages of past observations


7. Estimation Methods: Method of moments (Yule-Walker equations), unconditional and exact likelihood, non applicability of OLS

Introduction to volatility

21 Abril 2022, 10:00 • Nuno Paulo De Sousa Arrobas Crato

Volatility in financial markets

Stylized facts of financial time series