This course covers empirical methods for volatility measurement, modelling and forecasting. Part 1 considers the highly parametric setting of GARCH models as well as the more complex setting of stochastic volatility models. Part 2 focuses on the relatively simple modelfree realized volatility...

Topics: - Relationship between statistical methods and business cycle theory - Estimation of potential output and output gap - Dating, detecting and forecasting turning points - Growth and cyclical convergence - Transmission of cyclical fluctuations - Forecasting methods for economic activity...