Master of Science in Finance and Banking

TIME SERIES AND ECONOMETRICS

Davide Erminio Pirino

Teaching material

Exams

» Time schedule for oral exams. June 25 2020.
data inserimento: 2020-06-24 16:45:25

Practices - Time Series

» 05. Practice-main text
data inserimento: 2020-03-25 18:13:38

» 05. Practice-solution
data inserimento: 2020-03-26 14:58:12

» 06. Practice-main text
data inserimento: 2020-04-02 14:40:17

» 06. Practice-solution
data inserimento: 2020-04-02 14:40:53

» 07. Practice-main text
data inserimento: 2020-04-17 16:52:27

» 07. Practice-solution
data inserimento: 2020-04-17 18:36:28

» 08. Practice-main text
data inserimento: 2020-04-23 14:45:26

» 08. Practice-solution
data inserimento: 2020-04-24 00:39:09

» 09. Practice-main text
data inserimento: 2020-04-30 13:13:10

» 09. Practice-solution
data inserimento: 2020-04-30 18:19:43

Practices-Econometrics

» 01. Practice-main text.
data inserimento: 2020-03-11 18:39:56

» 01. Practice-solution.
data inserimento: 2020-03-11 18:40:13

» 02. Practice-main text.
data inserimento: 2020-06-08 10:08:26

» 02. Practice-solution.
data inserimento: 2020-03-17 11:20:28

» 03. Practice-main text.
data inserimento: 2020-03-11 18:40:54

» 03. Practice-solution.
data inserimento: 2020-03-17 11:20:35

» 04. Practice-main text.
data inserimento: 2020-03-19 15:31:41

» 04. Practice-solution.
data inserimento: 2020-03-19 15:31:54

Slides-Econometrics

» 01. Introductory concepts, simple linear regression models and OLS estimators.
data inserimento: 2020-04-08 09:28:28

» 02. Simple linear regression: coefficient of determination (properties and interpretation), unbiasedness and conditional variance of OLS estimators.
data inserimento: 2020-03-09 16:09:38

» 03. Simple linear regression: unbiased estimator of the error variance, statistical inference and hypothesis testing. A brief introduction to the CAPM.
data inserimento: 2020-03-09 16:09:49

» 04. The market beta of a stock. Recap of linear algebra. Multiple linear regression: OLS estimators. Dummy variables.
data inserimento: 2020-04-05 15:27:51

» 05. Unbiasedness of OLS, conditional variance-covariance matrix. Error variance unbiased est.
data inserimento: 2020-03-10 14:11:19

» 06. Distribution of the OLS estimators for multiple regressions, multicollinearity, multiple hypothesis testing: F-test.
data inserimento: 2020-03-11 13:53:29

» 07. Gauss-Markov Theorem. Testing for equal regressors. Maximum likelihood estimator, log-likelihood ratio test.
data inserimento: 2020-03-11 15:51:33

» 08. Non-nested models. Measurement errors and omitted variables. OLS asymptotics.
data inserimento: 2020-03-18 12:49:47

Slides-Time Series

» 01. Introduction to time series (trends, seasonality, co-integration), log-returns. Convergence to equilibrium of an AR(1) process. Strongly stationary processes: definition and properties.
data inserimento: 2020-03-09 16:24:18

» 02. Covariance-stationarity: definition and main properties. Random walk. Gaussian processes. Non-stationary processes. Order of integration. Consequences of non-stationarity on regression models.
data inserimento: 2020-08-06 14:59:13

» 03. Mean-ergodic and variance-ergodic processes. Sufficient conditions for ergodicity. Ergodicity of gaussian processes. Memory of a process and the test for the autocorrelation coefficient.
data inserimento: 2020-04-16 11:54:01

» 04. Lag operator. Polynomials of the lag operator. Invertibility. ARMA, AR and MA processes: definition. Mean, variance, co-variance and stability condition for AR(1)-processes. Causality and explosiveness.
data inserimento: 2020-04-01 18:00:43

» 05. Stability region for AR(2) processes. Variance, Co-variance, autocorrelation and partial autocorrelation of AR(p) processes. Selection of the autoregressive order: ACF vs PACF.
data inserimento: 2020-04-16 11:54:56

» 06. Moving Average Processes: stationarity, invertibility, ACF and PACF Comparison: Moving Average vs. Autoregressive. Invertibility and Causality of AMRA(p,q).
data inserimento: 2020-04-16 11:55:55

» 07. Non-stationary processes and the ADF test.
data inserimento: 2020-04-25 13:34:13

» 08. ARIMA models and the Box-Jenkins procedure.
data inserimento: 2020-04-28 18:02:24

» 09. Vector Auto-Regressive Models: structural, reduced-form and companion representation. Stationarity conditions. Triangularisation and identification of structural VAR. Wold Theorem and the Impulse response function.
data inserimento: 2020-04-28 18:13:43

» 10. Co-integration: definition and examples. Vector Error Correction Models: estimation and interpretation.
data inserimento: 2020-04-29 16:29:07