Sumários

Lecture 26

4 Dezembro 2023, 20:00 • Paulo Parente

GARCH Models

  • The ARCH and GARCH models
  • Estimation of GARCH models
  • Specification Testing in GARCH models
  • Volatility forecasting
Exercise Sheet 12: Exercise 1

Lecture 25

4 Dezembro 2023, 18:00 • Paulo Parente

Advanced Topics in Unit Roots and Cointegration

  • The system equation approach.
    • Johansen cointegration test and Error correction models
    • Hypothesis testing on the cointegrating vectors
Exercise Sheet 7: Exercises 1 and 3

Lecture 24

27 Novembro 2023, 20:00 • Paulo Parente

Exercise Sheet 11: 1(b) - complete


GARCH Models
  • Volatility: historical, RiskMetrics
  • The ARCH and GARCH models

Lecture 23

27 Novembro 2023, 18:00 • Paulo Parente

Multivariate Time Series Models
  • Structural VAR
  • Forecasting VAR models

Exercise sheet 6: Exercise 1

Advanced Topics in Unit Roots and Cointegration
  • Unit roots
  • Cointegration and common trends
    • The single equation approach.
    • Engle-Granger procedure
    • Estimation of the cointegrating vector

Lecture 22

20 Novembro 2023, 20:00 • Paulo Parente

Exercise Sheet 11: Exercises 1a, b (incomplete)