QRM 6-1: TS for RM 1 (intro)
Автор: The Logic of Risk
Загружено: 2020-05-12
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Welcome to Quantitative Risk Management (QRM).
In Lesson 6 we start discussing Time Series (TS) analysis, which we will later combine with EVT.
We will answer the following questions: What is a TS? What types of TS can we model? What does stationarity mean? What are the main causes of non-stationarity in data? What is the ACF of a TS?
Topics:
00:00 Introduction
02:40 Definition of a TS
03:30 Equally- and unequally-spaced TS
07:44 Finite-dimensional distribution
09:14 Autocovariance
10:52 Autocorrelation
12:24 An important caveat
13:17 The ACF
14:06 Cross-correlation
15:05 An exercise with MA(1)
16:45 White noises
19:10 Stationarity (strong and weak)
22:27 Causes of non-stationarity
24:19 Solution to the MA(1) exercise
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