•GUIDA ECONOMIA 07-08 - Università degli studi di Udine

246 prospectus udine
Judicial procedures (Litigation): artt. 1-70
d.lgs. n. 546/1992.
Bibliography
The lecturer will recommend books during
the course.
TIME SERIES ANALYSIS
Prof. Luca Grassetti
Contents
Further study in the analysis of fixedtime-interval,
discretely sampled data.
Basic elements: typical features of the
series (in particular, financial series); partial
and global autocorrelation functions;
unit roots and stability. A review of
ARIMA modelling. Non-linear autoregressive
models: threshold models TAR,
SETAR, LSTAR, autoregressive neural
nets. Higher moment models: ARCH-
GARCH models for non-constant variance.
Combined models: ARIMA-
GARCH and SETAR-GARCH. Algorithms
in R software will be used for computer
exercises and project analysis.
Pre-requisites
Statistics.
Bibliography
Coursebook
- P.H. FRANSES, D. VAN DIJK, Non-linear
Time Series Models in Empirical Finance,
Cambridge University Press, 2000.
Other reading
- H. KANTZ, T. SCHREIBER, Nonlinear Time
Series Analysis, Cambridge Univ. Press,
2003.
- H. TONG, Non-Linear Time Series: a
Dynamical Systems Approach, Oxford
Univ. Press, 1990.
- K. CHAN, H. TONG, Chaos: a Statistical
Perspective, Springer-Verlag, 2001.
Exam
A written exam and a project.