Joyadasilva

Summary Multivariate Econometrics for the Master Econometrics and Operational Research at the VU. This summary includes all course content that has been discussed in the lectures and tutorials. The summary contains the following topics: Time Series, Local Level Model, univariate models, parameter estimation, state space analysis, linear gaussian models, non linear non gaussian models, ML, SV model, QML, importance sampling, particle filter, bootstrap filter, kalman filter, kalman smoother, multi...

Summary Multivariate Econometrics of the Master Econometrics and Operational Research at de VU. This summary includes all course content that has been discussed in the lectures and tutorials. The summary contains the following topics: dynamic regression theory, VAR processes, stationarity, ergodicity, lag operators, martingale differences, autoregression, unit roots, stationarity, cointegration, VECM, random walk, spurious regressions, Johansens analysis, panel data models, cross sectional depen...

Summary Stochastic Processes: the Fundamentals of the Master Finance at the VU (also course for Financial Econometrics). This summary includes all course content that has been discussed in the lectures and tutorials. The summary contains the following topics: no-arbitrage pricing, risk neutral pricing, derivative pricing, binomial tree model, algebras and filtrations, markov processes, random variables, expectation and variance, random walk, Brownian motion, ito's lemma, Black-Scholes, Girsanov...

Summary Advanced Econometrics of the Master Econometrics and Operational Research at the VU. This summary includes all course content that has been discussed in the lectures and tutorials. The summary contains the following topics: linear regression, non linear models, stationarity, forecasting, value at risk, impulse response functions, fading memory, ergodicity, bounded moments, DGPs, multivariate filters, extremum estimators, uniform convergence, equicontinuity, identifiable uniqueness, miss...