Παρουσίαση/Προβολή

(INF327) -  Ioannis Vrontos

Περιγραφή Μαθήματος

This course provides the theory and practice of time series analysis. After introducing the basic theory of stationary processes, it describes and presents analytically the Box-Jenkins methodology for ARIMA models. The course introduces the class of conditional heteroscedastic models (ARCH/GARCH), and presents practical time series forecasting techniques. Illustrative examples applying time series models/techniques to actual economic and financial data are also presented using the statistical package R. The empirical analysis consists of (a) unit root testing to exchange rate series and financial series, e.g. stocks and indices, (b) modeling and forecasting financial return series, (c) estimation of different risk measures, (d) performance evaluation of fund investments (e.g. mutual and/or hedge fund returns).

Ημερομηνία δημιουργίας

Τετάρτη, 4 Ιανουαρίου 2017