Programa

Time Series

Doutoramento Bolonha em Matemática Aplicada à Economia e à Gestão

Mestrado Bolonha em Actuarial Science

Programa

- Introduction to time series analysis. Fundamental concepts - Models for stationary time series. Autoregressive Moving Average (ARMA) models - Box-Jenkins methodology: model identification, estimation and diagnostic checking - Models for nonstationary time series. Autoregressive Integrated Moving Average (ARIMA) models and unit root testing - Forecasting using ARIMA models - Seasonality and Seasonal ARIMA (SARIMA) models - Conditional Heteroskedasticity time series models. ARCH/GARCH models - Forecasting with exponential smoothing methods - Multivariate Time Series Models