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119246 ANALISI DELLE SERIE STORICHE in Administration, finance and control LM-77 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.
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