Opschoor - Samenvattingen, Aantekeningen en Examens

Dit uitwerkingendocument is geschreven door een EUR-student (Marja) en bevat alleen de opgaven die gemaakt moeten worden voor het vak Tijdreeksanalyse. Het is een samenvatting van het boek van Franses, Van Dijk en Opschoor. Als je me privé appt, krijg je 'm voor minder. Let op, dit document is Nederlandstalig en handgeschreven.

Deze samenvatting is geschreven door een EUR-student (Marja) en bevat alleen de hoofdstukken die geleerd moeten worden voor het vak Tijdreeksanalyse. Het is een samenvatting van het boek van Franses, Van Dijk en Opschoor.

This summary provides the basis for the ARMA models. It contains an explanation of the autocorrelation, White Noise, Partial Autocorrelation, Moving Average Model, Stationarity of the time series, weakly stationary, covariance stationary, model selection criteria, and how to interpret the graphs. This summary helps you go through material without watching again the lengthy web-lectures. I practically wrote down everything what he said. It helps also if you did not watch the weblecture, because ...

Here is the summary from the models AR(1), MA(1), ARMA(2,1) step by step, explained with colours. If something is not understandable, please write it in the comments below. This summary helps you go through material without watching again the lengthy web-lectures. I practically wrote down everything what he said. It helps also if you did not watch the weblecture, because you can find here everything what he talked about.

Here is a summary of the above models. The explanation is taken from the class. This summary contains everything what we talked about in terms of interpretation, estimation, and diagnostic checks. This summary helps you go through material without watching again the lengthy web-lectures. I practically wrote down everything what he said. It helps also if you did not watch the weblecture, because you can find here everything what he talked about.

This is the summary of forecasting with GARCH and Value at Risk. The summary contains an explaination of the derivation of the GARCH model, evaluation of volatility forecast, value at risk, testing the VaR, how to judge if the VaR is correct, an example of the model, and the criticism. This summary helps you go through material without watching again the lengthy web-lectures. I practically wrote down everything what he said. It helps also if you did not watch the weblecture, because you can fin...