Where

All the activities are in room B102 of Polo Scientifico e Tecnologico “Fabio Ferrari”, Povo 2, see here

Day 0 (05/09/2017)

[13:00- ] Registration Desk is open

Material

0.1 - Welcome session

[13:30-14:00]

Maria Michela Dickson and Diego Giuliani

  • Installing and starting R
  • A quick overview of R’s capabilities

0.2.1 - Introduction to R

[14:00-16:00]

Maria Michela Dickson and Diego Giuliani

  • Basics of working with R commands
  • Basic R objects: vectors, lists and data frames
  • Loading and saving data

Coffee Break

[16:00-16:30]

0.2.2 - Introduction to R

[16:30-18:00]

Maria Michela Dickson and Diego Giuliani

  • Data management
  • Univariate descriptive statistics
  • Bivariate descriptive statistics

Dinner at Povo 0

[19:00-20:00]

Day 1 (06/09/2017)

[08:00- ] Registration Desk is open

References

  • Wickham, H. (2014) “Advanced R”, CRC Press.
  • Wickham, H. (2015) “R packages”, O’Reilly.
  • Wickham, H. (2016) “ggplot2”, Springer.

Material

System requirements

  • pandoc
  • R vers. 3.4.0 or greater
  • According to the OS (only if you DO NOT have RStudio installed on your PC):

System requirements

Please install the following R packages: reshape2, devtools, roxygen2, timeSeries, rmarkdown, ggplot2, GGally by

install.packages("reshape2", dependencies=TRUE)
install.packages("devtools", dependencies=TRUE)
install.packages("roxygen2", dependencies=TRUE)
install.packages("timeSeries", dependencies=TRUE)
install.packages("rmarkdown", dependencies=TRUE)
install.packages("ggplot2", dependencies=TRUE)
install.packages("GGally", dependencies=TRUE)

1.1.1 - Programming with data

[8:30-10:00]

Flavio Santi

  • Introductory data manipulation with R
  • Object-oriented programming in R: introduction to S3
  • Creating a new S3 class - Case-study in finance (first part)

Coffee Break

[10:00-10:30]

1.1.2 - Package building

[10:30-12:30]

Flavio Santi

  • Environments, scripts, packages and libraries: some clarifications
  • What is a package and when it may be useful
  • Structure of a package
  • From a script to a new package - Case-study in finance (second part)

Lunch

[12:30-14:00]

1.2.1 - Automatic reporting

[14:00-16:00]

Flavio Santi

  • On automatic reporting
  • R markdown
  • An automated report - Case-study in finance (third part)

Coffee Break

[16:00-16:30]

1.2.2 - Advanced graphics

[16:30-18:00]

Flavio Santi

  • Standard graphics and the grammar of graphics
  • ggplot2
  • Put it all together - Case-study in finance (fourth part)

Dinner at Povo 0

[19:00-20:00]

Day 2 (07/09/2017)

References

  • C. Kleiber and A. Zeileis (2008) Applied Econometrics with R, Springer-Verlag. The first two chapters, all slides, code, and some further materials are available at: eeecon.uibk.ac.at/~zeileis/teaching/AER/

Material

System requirements

Please install the R packages AER by

install.packages("AER", dependencies=TRUE)

2.1.1 - Linear models

[8:30-10:00]

Nikolaus Umlauf

  • Simple linear regression
  • Multiple linear regression
  • Robust standard errors and tests
  • Factors, interactions, and weights

Coffee Break

[10:00-10:30]

2.1.2 - Extensions of linear models

[10:30-12:30]

Nikolaus Umlauf

  • Linear regression with panel data
  • Quantile regression
  • Partially linear and additive models

Lunch

[12:30-14:00]

2.2.1 - Analysis of microeconomic data

[14:00-16:00]

Achim Zeileis

  • Generalized linear models
  • Binary responses
  • Multinomial responses
  • Ordinal responses

Coffee Break

[16:00-16:30]

2.2.2 - Analysis of microeconomic data

[16:30-18:00]

Achim Zeileis

  • Count responses
  • Limited responses

Social Dinner

[19:00-22:00] at Birreria Pedavena, here the position in the map.

Day 3 (08/09/2017)

References

  • R. Tsay (2010), Analysis of Financial Time Series. Wiley. Chapters 1, 2, 3 (Sections 1 to 7 and 14), 7 (Sections 1 to 3).

Material

System requirements

Please install the following R packages: timeSeries, fGarch, fpp, rugarch, knitr, ks by

install.packages("timeSeries", dependencies = TRUE)
install.packages("fGarch", dependencies = TRUE)
install.packages("fpp", dependencies = TRUE)
install.packages("rugarch", dependencies = TRUE)
install.packages("knitr", dependencies = TRUE)
install.packages("ks", dependencies = TRUE)

3.1.1 - Linear time series analysis

[8:30-10:00]

Marco Bee

  • Stationarity
  • Correlation and Autocorrelation Function
  • Unit-Root Nonstationarity
  • ARIMA models

Coffee Break

[10:00-10:30]

3.1.2 - Nonlinear time series analysis

[10:30-12:30]

Marco Bee

  • Conditional Heteroscedastic Models: ARCH and GARCH models
  • Some properties of GARCH models
  • Extensions and generalizations: IGARCH, EGARCH, GARCH-M
  • Testing the significance of ARCH effects.

Lunch

[12:30-14:00]

3.2.1 - Analysis of macroeconomics data

[14:00-16:00]

Marco Bee

  • Fitting ARIMA-GARCH models to economic and financial time series
  • Forecasting volatility structures and computing Value-at-Risk

Coffee Break

[16:00-16:30]

3.2.1 - Analysis of macroeconomics data

[16:30-18:00]

Marco Bee

  • Value-at-Risk estimation for asset returns and exchange rates

Closing

[18:00-18:30]