Exercises

15 Dezembro 2011, 12:00 • ANTÓNIO DA ASCENSÃO COSTA

Analysis and problem solutions.

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Simulation

29 Novembro 2011, 10:00 • João Andrade e Silva

Introduction to simulation

Pseudo random numbers generation

How to use simulation

Examples

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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.

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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

 

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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

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