Analysis of Financial Series
0
2015-2016
02640643
Economics/Management/Sociology/History/Law/Information Systems/Quantitative Methods
Portuguese
Face-to-face
6.0
Elective
2nd Cycle Studies - Mestrado
Recommended Prerequisites
Time Series, Processes and Stochastic Calculus.
Teaching Methods
Theoretical-practical lessons where models and estimation techniques are presented. The use of these models and techniques for the study of financial time series will be illustrated using appropriate software. Exercise resolution.
Learning Outcomes
Our goal is to analyze the characteristics usually observed in financial time series, using (and, if necessary, generalizing) knowledge about Time Series. It is intended that students become acquainted with the theoretical reasoning behind the models used for analyzing financial time series, and learn how to use a set of techniques aimed at estimation and forecasting.
Work Placement(s)
NoSyllabus
Typical characteristics of mathematical finance series (clustering and persistence, in particular of volatility, large tails in income distribution, extreme observations, etc.). Linear Regression. Analysis of Non-Stationary and Long-Term Processes. Determination of Value at Risk and Expected Shortfall using the Extreme Value Theory. State Space Representation Models and Kalman Filter. Models with Switching. Other topics: relationship between different series (copulas, VAR, cointegration); method of moments; high frequency data.
Bibliography
BERAN, Jan - Statistics for long-memory processes. New York : Chapman & Hall, 1998. [BP 519.2 BER]. CAMPBELL, John Y. - The econometrics of financial markets. Princeton : Princeton University Press, 1997. [BP 336.76 CAM]. DURBIN, James - Time series analysis by state space methods. Oxford : Oxford University Press, 2001. [BP519.2 DUR]. EMBRECHTS, Paul ; KLÜPPELBERG, Claudia ; MIKOSCH, Thomas. - Modelling extremal events : for insurance and finance. 4th print. cor.. Berlin : Springer- Verlag, 2003. [BP 51-7 EMB]. HAMILTON, James D. - Time series analysis. Princeton : Princeton University Press, 1994. [BP 519.2 HAM]. NELSEN, R. – An introduction to copulas. New York : Springer, 1999. TSAY, Ruey S. - Analysis of financial time series. 2nd ed.. Hoboken : Wiley-Interscience, 2005. [BP519.8 TSA]. ZIVOT, Eric - Modeling financial time series with S-PLUS. 2nd ed.. New York : Springer, 2006. [BP519.8 ZIV].