Dynamic Models
STATIONARY UNIVARIATE MODELS. Difference equations, Wold decomposition theorem, ARMA models and Box-Jenkins methodology, Model Selection, maximum likelihood estimation, Forecasting methodology. Kalman filter.
NONSTATIONARY UNIVARIATE MODELS. Deterministic and stochastic trend models, Unit root tests.
STATIONARY MULTIVARIATE MODELS. Vector autoregression (VAR) models, Granger causality, Impulse response functions, Variance decompositions, Structural VAR models.
NONSTATIONARY MULTIVARIATE MODELS. Spurious regression, Cointegration, Granger representation theorem, Vector error correction models (VECMs), Testing for cointegration, Estimating the cointegrating rank, Estimating cointegrating vectors.
INTERTEMPORAL ASSET PRICING MODELS. GMM estimation technique and related inference procedures. Applications.
VOLATILITY ESTIMATION.GARCH models. Stochastic volatility models. Nonparametric volatility estimation. Volatility forecasting. Risk management applications.
CONTINUOUS-TIME MODELS. Estimation of Stochastic Differential Equations. Term-structure models. Option pricing models.
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