Essentials of Time Series for Financial Applications

Massimo Guidolin is a full professor in the Department of Finance at Bocconi University. He earned a Ph.D. from University of California, San Diego in 2000. He has worked at the University of Virginia as an assistant professor in financial economics, the Federal Reserve Bank of St. Louis at first as a senior economist and then as an Assistant Vice-President (Financial Markets), and the Accounting and Finance department of Manchester Business School as a chaired full professor in Finance. His teaching has spanned corporate finance, asset pricing theory, empirical finance, derivative pricing, and of course, econometrics both the undergraduate and graduate (MSc. and doctoral) levels. He has published in top economics, econometrics, and finance outlets such as the American Economic Review, Journal of Financial Economics, Journal of Econometrics, Review of Financial Studies, and Economic Journal. He serves on the editorial board of a number of journals, among them Journal of Economic Dynamics and Control, International Journal of Forecasting , and Journal of Banking and Finance. Manuela Pedio is adjunct researcher associated with Bocconi’s Finance specialties and has experience as an analyst in derivatives sales and trading. She teaches courses in portfolio management and introductory statistics at Bocconi. Her research interests mainly concerns the role of regimes and statistical instability in asset pricing and portfolio choice. She has published articles and books on these topics with prime editorial companies in Europe.

1. Review of Key Concepts and Methods in Econometrics: Regressions Analysis2. Autoregressive-Moving Average (ARMA) Models and their Practical Applications.3. Vector Autoregressive Moving Average (VARMA) Models4. Unit Roots and Cointegration Methods5. Univariate Single-Factor Stochastic Volatility Models: Autoregressive Conditional Heteroskedasticity(ARCH and GARCH)6. Multivariate ARCH and GARCH and Dynamic Conditional Correlation Models7. Multi-Factor Volatility Models: Stochastic Volatility8. Models with Breaks, Recurrent Regime Switching, and Non-Linearities9. Markov Switching Models10. Realized Volatility and Covariance