|
Teacher
|
POLI FRANCESCO
(syllabus)
Historical time series:
- Introduction
- Moving average
- Stochastic process, stationarity, ACF, PACF
- RW, MA, AR, ARMA models
- Non-stationary processes
- RW with constant or drift
- ARIMA model
- SARIMA model
- Box-Jenkins procedure for model estimation
- Forecast
- Non-stationary models
- DF and ADF tests
Financial time series:
- Introduction
- Prices-returns relationship
- Motivation and stylized facts
- Financial time series characteristics
- Normality and related tests
- ARCH model
- GARCH model
- Estimation and examples
(reference books)
Tommaso Di Fonzo e Francesco Lisi (2005) Serie storiche economiche. Analisi statistiche e applicazioni. Roma, Carocci editore.
|
