Financial Econometrics (2 º Sem 2015/2016)
EMF (Economia Monetária e Financeira) , MF (Mathematical Finance)
Program
- Empirical features and stylized facts of financial time series;
- Linear models for time series analysis;
- Conditional heteroscedasticity models;
- Variance ratios and predictability of financial markets;
- Financial risk and value-at-risk;
- Applications with EViews.
- Linear models for time series analysis;
- Conditional heteroscedasticity models;
- Variance ratios and predictability of financial markets;
- Financial risk and value-at-risk;
- Applications with EViews.