Łukasz Balbus

Dynamical ad Financial Econometrics:

• Stationary Time Series
• Yule-Walker formula
• Partial Autocorrelation Function (PACF)
• Autocorrelation Function for Moving Average Processes
• Coefficients Significance Tests
• Unit Squared Root Tests
• Identification of parameters of ARMA model, final estimation
• Differencing and Integration Operators - ARIMA models
• Classical Decomposition Model - Climate Change Modelling in Japan
• Changing variance-GARCH models

Based on monographies:Peter J. Brockwell and Richard A. Davis, A. , Introduction to Time Series and Forecasting, Publisher: Springer International Publishing AG, and George E.P. Box, Gwilym M. Jenkins, Gregory C. Reinsel, G.M. Ljung, Time Series Analysis, Forecasting and Controls , Publisher: Wiley.

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