Sumários

Group work presentation

13 Maio 2021, 10:00 • Nuno Paulo De Sousa Arrobas Crato

Group project presentations

Group work presentation

6 Maio 2021, 10:00 • Nuno Paulo De Sousa Arrobas Crato

Group work presentations and discussion - 1

Volatility

29 Abril 2021, 10:00 • Nuno Paulo De Sousa Arrobas Crato

Stylized facts of financial time series


Modeling volatility with ARCH models - introduction

Model selection

22 Abril 2021, 10:00 • Nuno Paulo De Sousa Arrobas Crato

AIC, SIC and other model selection criteria

Diagnostic checking
Whiteness of residuals - Portmanteau tests

ARIMA Identification

15 Abril 2021, 10:00 • Nuno Paulo De Sousa Arrobas Crato

Box-Jenkins methodology


Selection criteria
Tests for whiteness of residuals