Time-series analysis

Learning Goals

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.+

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

D

SSD

SECS-S/03

ECTS

6

Semester

Lecturers