Sumários
Exercises
20 Maio 2013, 08:00 • ANTÓNIO DA ASCENSÃO COSTA
Exercises on conditional heteroscedasticity.
CHM-3
15 Maio 2013, 09:30 • ANTÓNIO DA ASCENSÃO COSTA
6. Conditional heteroskedasticity models
6.3 Asymmetric effects and the TARCH model
Examples and aplications
Computing variance forecasts
CHM-2
13 Maio 2013, 08:00 • ANTÓNIO DA ASCENSÃO COSTA
6. Conditional heteroskedasticity models
6.2 ARCH and GARCH volatility models
Examples
CHM-1
8 Maio 2013, 09:30 • ANTÓNIO DA ASCENSÃO COSTA
6. Conditional heteroskedasticity models
6.1 Financial time series patterns