The students will be exposed to the main topics and methods of modern time-series analysis, with an emphasis on financial and econometric applications. By the end of the course, the students will be confident in applying a range of univariate and multivariate time-series modeling, forecasting, and diagnostic tools. Current trends and areas of ongoing research will be emphasized. Tutorials and hands-on assignments on real-world data will complement traditional lectures.+
Time-series analysis
Learning Goals
Program in pills
Introduction, Univariate ARMA models, Forecasting, Univariate State-space models, Nonstationarity and Unit root test, Structural breaks, Univariate Volatility models, Time-series decomposition. VAR, Cointegration and VECM, Nonlinear and regime-switching models.
Area
Mathematical and statistical modelling
Curriculum Foundations
TAF Type
Curriculum Industry
TAF Type
Curriculum Health
TAF Type
Curriculum Economy
TAF Type
SSD
ECTS
Semester
Lecturers