| Ementa/Descrição: |
• Introdução a séries temporais
• ARMA, ARIMA, ARFIMA
• Testes de raiz unitária
• Cointegração
• ARCH, GARCH, FIGARCH
• Variáveis instrumentais
• VAR
• Valores extremos (GEV, GPD, VaR)
• Cópulas
• GMM, EMM
|
| Referências: |
Angrist, J. D.; Krueger, A. B. (2001). Instrumental variables and the search for identification: from supply and demand to natural experiments. The Journal of Economic Perspectives, v. 15, n. 4, p. 69-85.
Campbell, J. Y.; Lo, A. W.; MacKinlay, A. C. (2007). The econometrics of financial markets. Princeton University Press, New Jersey.
Enders, W. (2004). Applied econometric time series. Wiley & Sons, New Jersey.
Gujarati, D. N. (2000). Econometria básica. Pearson Education do Brasil, São Paulo.
Hamilton, J.D. (1994). Time series analysis. Princeton University Press, New Jersey.
Hausman, J. (2001). Mismeasured variables in econometric analysis: problems from the right and problems from the left. The Journal of Economic Perspectives, v. 15, n. 4, p. 57-67.
Jorion, P. (2001). Value at risk: the new benchmark for managing financial risk. McGraw-Hill, New York.
Stock, J. H.; Wright, J. H.; Yogo, M. (2002). A survey of weak instruments and weak identification in generalized method of moments. Journal of Business and Economic Statistics, v. 20, n. 4, p. 518-529.
Tsay, R. S. (2002). Analysis of financial time series. John Wiley & Sons, New York.
Wooldridge, J. M. (2003). Introductory econometrics: a modern approach. South-Western College Pub., Cincinnati.
Zivot, E.; Wang, J. (2002). Modeling financial time series with S-Plus. Springer, New York.
|
