Michele LA ROCCA | LABORATORIO DI STATISTICA E DATA MINING

cod. 0222210013

LABORATORIO DI STATISTICA E DATA MINING

	0222210013
	DIPARTIMENTO DI SCIENZE ECONOMICHE E STATISTICHE
	EQF7
	ECONOMICS
	2017/2018

CURRICULUM ECONOMIA E FINANZA (EF)

	YEAR OF DIDACTIC SYSTEM 2016
	PRIMO SEMESTRE

TEACHING UNITS

	SSD	CFU	HOURS	ACTIVITY	TYPE OF ACTIVITY
	SECS-S/01	10	60	LESSONS	OPTIONAL SUBJECTS

PROFESSORS

	CIRA PERNA T Curriculum
	GIUSEPPE STORTI Curriculum
	MICHELE LA ROCCA Curriculum
	FRANCESCO GIORDANO Curriculum

	Objectives
	KNOWLEDGE AND UNDERSTANDING PROVIDE THE STUDENTS WITH ADVANCED METHODOLOGICAL AND COMPUTATIONAL TOOLS FOR FORECASTING FINANCIAL TIME SERIES. APPLYING KNOWLEDGE AND UNDERSTANDING MAKE THE STUDENTS ABLE TO IMPLEMENT IN R LANGUAGE ADVANCED TECHNIQUES FOR ANALYZING AND FORECASTING FINANCIAL TIME SERIES.

	Prerequisites
	BASIC KNOWLEDGES OF STATISTICS

	Contents
	PART I ELEMENTS OF SIMULATION THEORY. THE BOOTSTRAP PROCEDURE. BOOTSTRAP FOR DEPENDENT DATA. BOOTSTRAP ESTIMATION OF THE FORECAST DENSITY OF RETURNS IN ARMA-GARCH MODELS. FORECAST INTERVALS FOR VAR AND ES. ASSESSING DENSITY FORECASTS: PITS, BERKOWITZ'S TEST, SCORING RULES. CASE STUDIES. PART II NON PARAMETRIC ESTIMATORS AND DEPENDENT DATA, MAIN PROPERTIES, APPLICATIONS FOR FINANCIAL TIME SERIES.

	Teaching Methods
	LECTURES AND COMPUTER LABORATORY SESSIONS

	Verification of learning
	ORAL EXAM WITH DEFENSE OF A PROJECT WORK

	Texts
	GNEITING, TILMANN AND RAFTERY, ADRIAN E., (2007), STRICTLY PROPER SCORING RULES, PREDICTION, AND ESTIMATION, JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 102, ISSUE , P. 359-378. MORGAN B. (1984) ELEMENTS OF SIMULATION (CHAPMAN & HALL/CRC TEXTS IN STATISTICAL SCIENCE). LORENZO PASCUAL, JUAN ROMO, ESTHER RUIZ (2006) BOOTSTRAP PREDICTION FOR RETURNS AND VOLATILITIES IN GARCH MODELS, COMPUTATIONAL STATISTICS & DATA ANALYSIS, VOLUME 50, ISSUE 9,PAGES 2293-2312, ISSN 0167-9473, HTTP://DX.DOI.ORG/10.1016/J.CSDA.2004.12.008. (HTTP://WWW.SCIENCEDIRECT.COM/SCIENCE/ARTICLE/PII/S0167947304004001)

GNEITING, TILMANN AND RAFTERY, ADRIAN E., (2007), STRICTLY PROPER SCORING RULES, PREDICTION, AND ESTIMATION, JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 102, ISSUE , P. 359-378.

MORGAN B. (1984) ELEMENTS OF SIMULATION (CHAPMAN & HALL/CRC TEXTS IN STATISTICAL SCIENCE).

LORENZO PASCUAL, JUAN ROMO, ESTHER RUIZ (2006) BOOTSTRAP PREDICTION FOR RETURNS AND VOLATILITIES IN GARCH MODELS, COMPUTATIONAL STATISTICS & DATA ANALYSIS, VOLUME 50, ISSUE 9,PAGES 2293-2312, ISSN 0167-9473, HTTP://DX.DOI.ORG/10.1016/J.CSDA.2004.12.008.
(HTTP://WWW.SCIENCEDIRECT.COM/SCIENCE/ARTICLE/PII/S0167947304004001)

	More Information
	FURTHER MATERIAL (DATA, SOFTWARE, LECTURE NOTES) WILL BE PUBLISHED ON THE INSTRUCTOR'S WEBSITE.

BETA VERSION Data source ESSE3 [Ultima Sincronizzazione: 2019-05-14]

Michele LA ROCCA | LABORATORIO DI STATISTICA E DATA MINING