Exercises and problems

21 Maio 2012, 09:30 • ANTÓNIO DA ASCENSÃO COSTA

Exercises and problems (sheet 04)

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Conditional heteroskedasticity models - 3

16 Maio 2012, 09:30 • ANTÓNIO DA ASCENSÃO COSTA

Variance forecast functions.

Exercises.

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Conditional heteroskedasticity models - 2

14 Maio 2012, 09:30 • ANTÓNIO DA ASCENSÃO COSTA

6.      Conditional heteroskedasticity models

6.2    GARCH volatility models

6.3    Asymmetric effects and the TARCH model

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Conditional heteroskedasticity models - 1

9 Maio 2012, 09:30 • ANTÓNIO DA ASCENSÃO COSTA

6.      Conditional heteroskedasticity models

6.1    Financial time series patterns

6.2    ARCH  volatility models

 

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Model building - 6

7 Maio 2012, 09:30 • ANTÓNIO DA ASCENSÃO COSTA

5.      Model building

5.5    Interventions, outliers and explanatory variables (conclusion)

Aplications with Eviews.

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