Home       Bio       Publications       Working papers       Contacts       Codes       Lecture notes

Lecture notes



NOTES WRITTEN FOR SOME COURSES I TAUGHT
(click on the title to download)
WARNING!
They are incomplete and might contain mistakes


Dynamic factor models
LSE Summer School, London Taught Course Centre, Vienna, Alicante, Hong Kong, Pisa
lecture notes       this version   Apr 2019
Chapter 7 is incomplete, please refer instead to
Barigozzi, M. and Luciani, M. (2019)
Quasi maximum likelihood estimation and inference of large approximate dynamic factor models via the EM algorithm


GARCH models
CIDE Summer School, Bertinoro
slides       this version   Jul 2014