Sumários
Simulation
29 Novembro 2011, 10:00 • João Andrade e Silva
Introduction to simulation
Pseudo random numbers generation
How to use simulation
Examples
GARCH models
24 Novembro 2011, 12:00 • ANTÓNIO DA ASCENSÃO COSTA
4.7.4 GARCH models.
4.7.5 Asymmetrical effects (TARCH(1,1) model).
4.7.6 Variance forecast functions.
Parameter estimation
22 Novembro 2011, 10:00 • João Andrade e Silva
ML estimation with censored and truncafed data
Variance of maximum likelihood estimators
Estimation of a function of the unknowm parameters
ARCH Models
17 Novembro 2011, 12:00 • ANTÓNIO DA ASCENSÃO COSTA
4.7 Conditional heteroscedastic models
4.7.1 Empirical facts on financial time series data
4.7.2 Error models
4.7.3 ARCH models