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Teacher
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NACCARATO ALESSIA
(syllabus)
Notes on basic statistical concepts finalized to the analysis of financial data (random variables, sample distributions, hypothesis verification), and on methods for exploratory data analysis. Multiple regression: estimation of coefficients, ANOVA, selection of models, assumption verification and their removals. Models for panel data. Distributed lag models. Stochastic processes and models for time series (MA, AR, ARMA and ARIMA): definition, estimation and forecast. Notes on multiple time series models (VAR)
(reference books)
Intoductory Econometrics for Finance, C. Brooks, Cambridge University Press
Econometric Analysis of Panel Data, B. H. Baltagi, Wiley
Time Series Analysis, J. D. Hamilton, Princeton University Press
New Introduction to Multiple Time Series Analysis, H. Lütkepohl, Springer
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Università Roma Tre