TIME SERIES AND FINANCIAL TIME SERIES
- Introduction to time series
- Graphical analysis
- The components: trend, seasonality and error term.
- How to eliminate the trend the seasonality
- The concepts of stationarity and inveribility.
- The autocorrelation function
- ARMA models: The AR(p), the MA(q), the ARMA(p,q), the ARIMA(p,d,q): methodology and properties
- Estimation of parameters: a likelihood approach
- How to chose an ARMA model: a likelihood approach.
- Read data analysis using R
- Stylized facts of financial data
- ARCH models, methodological aspects and properties
- GARCH models, mehodological aspects and properties
- Generalization of GARCH models.
- During classes we will use the software R
Teaching material will be provided