Sumários
Lecture 24
25 Novembro 2024, 20:00 • Paulo Parente
GARCH Models
- The ARCH and GARCH models
- Estimation of GARCH models
- Specification Testing in GARCH models
- Volatility forecasting
Exercise Sheet 11: Exercise 1
Lecture 23
25 Novembro 2024, 18:00 • Paulo Parente
Multivariate Time Series Models
- Structural VAR
- Forecasting VAR models
Exercise Sheet 6: Exercises 1 and 2
Lecture 21
18 Novembro 2024, 18:00 • Paulo Parente
Exercise sheet 5: Exercises 3b (complete),c,d.
Multivariate Time Series Models
- Stationary multivariate time series
- Vector autoregressive models
- Estimation and testing of VAR models
- Impulse response functions
- Granger Causality.
Lecture 20
11 Novembro 2024, 20:00 • Paulo Parente
Exercise Sheet 10: Exercises 2,3
GARCH Models:
- Volatility: historical, RiskMetrics