Analysis of Dynamic Data

Abstract

1. Construction of forecasts for decision making in a context of uncertainty, in which managers need to take into account the consequences of all posibilities. 2. Represent the dynamic dependence of univariate and multivariate variables describing the main dynamic properties: trends, seasonal components and cicles. 3. Measure the dependence beween economic and financial variables observed along time. 4. Measure the volatility of financial variables to obtain, for example, the Value at Risk or forecast intervals for financial returns.