- Docente: Giuseppe Cavaliere
- Crediti formativi: 6
- SSD: SECS-P/05
- Lingua di insegnamento: Inglese
- Moduli: Iliyan Georgiev (Modulo 1) Giuseppe Cavaliere (Modulo 2)
- Modalità didattica: Convenzionale - Lezioni in presenza (Modulo 1) Convenzionale - Lezioni in presenza (Modulo 2)
- Campus: Bologna
- Corso: Laurea Magistrale in Economics (cod. 8408)
Conoscenze e abilità da conseguire
At the end of the course the student has acquired an advanced and comprehensive knowledge of the main, up-to-date econometric methods for the analysis of economic and financial time series data. In terms of inference techniques, emphasis is given to up-to-date bootstrap methods. In particular, she/he is able: - to analyze critically the application of advanced econometric models to economic time series data; - to implement and make use of proper (asymptotic and bootstrap) inference methods in dynamic environments.
Contenuti
Part I: Conditional volatility models: estimation, inference and applications
- Univariate GARCH processes: properties, estimation, diagnostics and inference.
- Applications to Value at Risk.
- Multivariate models of conditional variance: estimation, diagnostics and inference.
- Applications to optimal hedging.
Part II: Asymptotic and Bootstrap inference in time series
- Introduction to the bootstrap: iid, wild, fixed regressor, moving block, m out of n, permutation, subsampling
- Bootstrapping stationary time series
- Bootstrap inference in multivariate (VAR) models
- Non-stationary time series: bootstrapping unit root and cointegration tests
- Bootstrapping conditional volatility models and the parameter on the boundary problem
Testi/Bibliografia
Lütkepohl H. (2005). New Introduction to Multiple Time Series Analysis. Springer.
Gatarek L., Johansen S. (2015). PDF [https://www.eui.eu/Documents/DepartmentsCentres/Economics/Seminarsevents/Johansen.pdf]
Horowitz J. (2001). The bootstrap. In: Handbook of Econometrics, vol. V.
Lecture notes provided by the instructors
Metodi didattici
Lectures
Modalità di verifica e valutazione dell'apprendimento
Take home exam
Orario di ricevimento
Consulta il sito web di Giuseppe Cavaliere
Consulta il sito web di Iliyan Georgiev