ISEG professor publishes book on " Financial Time Series Modeling"
João Nicolau is Associate Professor with Aggregation and current Chairman of the Department of Mathematics of ISEG publishes the book "Financial Time Series Modeling" through Fundação Económicas/Almedina. It is n.º 18 of the II Series of the Economic Collection.
Work
This
book addresses the estimation and forecasting of financial time series in discrete time. In particular, the empirical regularities commonly observed in financial time series and the statistical models that can capture these empirical regularities are studied. The models treated include univariate and multivariate volatility models, as well as several other nonlinear models such as Threshold AR and Markov-Switching. The models are illustrated with various applications, such as market efficiency, portfolio selection and value at risk.
Biography
João Nicolau is Associate Professor with Aggregation at the Instituto Superior de Economia e Gestão (ISEG). He holds a Master's and a PhD in Mathematics Applied to Economics and Management from ISEG. He conducts research in the following areas: estimation of stochastic differential equations, volatility of financial time series, non-parametric estimation and modeling of multivariate Markov chains. He has published articles in several international journals. He was awarded the Econometric Theory Multa Scripsit Award 2008. He is currently Chair of the Mathematics Department of ISEG, coordinator of the Econometrics area of the department, coordinator of the Econometrics and Time Series line of CEMAPRE and coordinator of the master's degree in Applied Econometrics and Forecasting at ISEG.
Fundação Económicas
Development Foundation
of Economic, Financial and Business Sciences
Rua do Quelhas, nº 6
1200-781 Lisboa
Email:
fundeco@iseg.utl.pt
