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Econometrie EViews 5

Econometrie EViews 5

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Published by: bulita69 on May 24, 2010
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07/28/2013

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ACADEMIA DE STUDII ECONOMICE
CATEDRA DE MONED
Ă
 Programul de Master Specializat
Managementul Sistemelor Bancare
MODULUL
:
Econometrie aplicat
ă
 utilizând EViews 5.1
 – NOTE DE CURS – 
Adrian Codirla
ş
u, CFA
Octombrie 2007
 
 1
 
Obiective
Cursul de econometrie bancar 
ă
are ca obiective însu
ş
irea de c
ă
tre studen
ţ
i a tehnicilor econometrice de baz
ă
utilizate în domeniul bancar. Principalele teme abordate în cadrulacestui curs se refer 
ă
la modelarea seriilor de timp, estimarea volatilit
ăţ
ii activelor financiare, modelarea riscului.De asemenea, cursul are ca obiectiv
ş
i însu
ş
irea de c
ă
tre studen
ţ
i a cuno
ş
tin
ţ
elor necesare model
ă
rii econometrice a datelor cu ajutorul programului Eviews 5.1.
Tematic
ă
 
Serii de timp: momentele seriilor de timp, sta
ţ
ionaritate/nesta
ţ
ionaritate,sezonalitate, distribu
ţ
ii, componente pe termen lung;
Teste statistice;
Regresia liniar 
ă
: estimare, teste, interpretare;
Modele cu date calitative;
Modele
 ARMA
;
Modele cu date panel;
Modele
 ARCH/GARCH 
;
Modele de evaluare a riscului de pia
ţă
(
Value at Risk 
).
 
 2
 
Bibliografie
Alexander, Carol
ş
i Elizabeth Sheedy editori (2004) „The Professional RiskManagers’s Handbook. Volume II: Mathematical Foundations of RiskMeasurement”, PRMIA
Alexander, Carol
ş
i Elizabeth Sheedy editori (2004) „The Professional RiskManagers’s Handbook. Volume III: Risk Measurement Practices”, PRMIA
DeFusco, Richard A., Dennis W. McLeavey, Jerald E. Pinto
ş
i David E. Runkle(2001) „Quantitative Methods for Invstment Analysis”, AIMR
Enders, Walter (2004) „Applied Econometric Time Series Second Edition”, Wiley
Greene, William H. (2000) „Econometric Analysis, Fourth Edition”, Prentice HallInternational
Hamilton, James D. (1994) „Time Series Analysis”, Princeton University Press
J. P. Morgan (1996) „RiskMetrics – Technical Document”, J. P. Morgan
Lutkepohl, Helmut
ş
i Mekus Kratzig (2004) „Applied Time Series Econometrics”,Cambridge University Press
Pindyck, Robert S.
ş
i Daniel L. Rubinfeld (1991) „Econometric Models andEconomic Forecasts” McGraw-Hill
Quantitative Micro Software (2005) „EViews 5.1 User’s Guide”, QuantitativeMicro Software

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