andreachello/applied-econometric-time-series

A repository to explore the concepts of applied econometrics in the context of financial time-series.

Applied Econometric Time-Series

A repository to explore the concepts of applied econometrics in the context of financial time-series.

1. Basic Statistics

The basics of financial statistics.

2. Linear Models

Simple linear regression and multivariate regression with diagnostic tests.

3. Univariate Time Series Models

AR, MA, ARMA, ARIMA, SARIMA models

4. Univariate Volatility Modeling

ARCH/GARCH and the conditional variance.

5. Multivariate Time Series Analysis

VAR, VECM and Cointegration

6. Introduction to Risk Management

Introduction to Copula Modelling and the Extreme Value Theory