Sumários
Lecture 24
24 Novembro 2025, 20:00 • Paulo Parente
GARCH Models
- Estimation of GARCH models
- Specification Testing in GARCH models
- Volatility forecasting
Exercise Sheet 10: Exercise 1
Lecture 23
24 Novembro 2025, 18:00 • Paulo Parente
Exercise Sheet 6: Exercise 2b
Exercise Sheet 5: Exercise 4
Exam 2021/2022: Question 1(a)
Lecture 21
17 Novembro 2025, 18:00 • Paulo Parente
Multivariate Time Series Models
- Vector autoregressive models
- Estimation and testing of VAR models
- Impulse response functions
- Granger Causality.
- Structural VAR
- Forecasting VAR models
Exercise sheet 6: Exercise 1, 2a
Lecture 20
10 Novembro 2025, 20:00 • Paulo Parente
Panel Data Models
- Estimation of Random Effects Model
- Generalized Least Squares and Feasible GLS.
- "Between" estimator.
- Hausman Test
GARCH Models
- Volatility: Introduction
- The ARCH and GARCH models