Dipartimento Metodi e Modelli
per l'Economia, il Territorio e la Finanza
MEMOTEF

Syllabus:

• 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