Sumários
Exercises and problems
21 Maio 2012, 09:30 • ANTÓNIO DA ASCENSÃO COSTA
Exercises and problems (sheet 04)
Conditional heteroskedasticity models - 3
16 Maio 2012, 09:30 • ANTÓNIO DA ASCENSÃO COSTA
Variance forecast functions.
Exercises.
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
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
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.