30E00800 - Time Series Analysis, 26.02.2019-29.05.2019
Kurssiasetusten perusteella kurssi on päättynyt 29.05.2019 Etsi kursseja: 30E00800
Lecture 15 (Tuesday 23.4.2019)
Forecasting with Conditional Heteroscdedasticy models (ARCH, GARCH etc., Brooks, Chapter 8)
Seasonality and Dummy variables (Brooks, Chapter 9.3)
Some clarifications and small corrections (shown in red) were added to the Dummy slides (attached) on 28.4.2019, 11:20 pm.
Some remarks about estimation of ARMA and CH models (e.g. MLE,, Chapter 8)
See also Brooks' slides
https://www.cambridge.org/features/economics/brooks/downloads/PPT/Ch8_slides.ppt
https://www.cambridge.org/features/economics/brooks/downloads/PPT/Ch9_slides.ppt