Econometrics for PhD 2021, by Dr. habil. Gábor Dávid KISS, PhD
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Outline:
1. Theory
Models, model selection
2. Matlab
GARCH, GJR-GARCH, APARCH estimation
model selection
DCC-GARCH estimation
using the MFE toolbox (by Kevind Sheppard: https://www.kevinsheppard.com/code/ma...)
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Literature:
Gábor Dávid Kiss and Mercédesz Mészáros (2020): Gravity Among Central Bank Balance Sheets: Monetary Policy Spill-Over on FX Volatility. Econometric Research in Finance, Volume 5: Issue 1 https://doi.org/10.2478/erfin-2020-0003
Gábor Dávid Kiss – Tamás Schuszter ( 2014): What are the Differences
Between the Currencies of Foreign Exchange Loans? Public Finance Quarterly, 2014/2 187-206 https://www.penzugyiszemle.hu/pfq/upl...