Nonlinear Models and Financial Econometrics

Instructor: Roberto Casarin

E-mail: r.casarin@unive.it

Syllabus

Office hour: Tuesday, 11.00 a.m.-12.00 p.m. (on Zoom). Office: Room 125 (San Giobbe)

Course material: copies of the lecture notes will be made available in class. Additional references are given below in the Course Outline section.

Homeworks (Further material is available in Moodle. Submit your solution in Moodle): Hom1, Hom2

Lecture Notes (Blue --> Updated)

(1) Bayesian Analysis

   (1.1) Foundation of Bayesian Analysis

   (1.2) SUR, VAR and Panel VAR

   (1.3) Simulation Methods

   (1.4) Nonlinear Latent Variable Models

   (1.5) Variational Bayes

(2) Stochastic Filtering

   (2.1) Kalman Filter

   (2.2) Hamilton Filter