01.11.2018By 황은주
금융시계열분석
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In this lecture, we deal with theories and probabilistic characteristics of financial time series models used in financial markets. We study basic characteristics of financial data and provide knowledge of financial time series and systematic account of financial econometric models such as autoregressive (AR) models, moving-average (MA) models, ARMA models, autoregressive conditional heteroscedastic (ARCH) models, generalized autoregressive conditional heteroscedastic (GARCH) models, etc.