Παρουσίαση/Προβολή

(LOXR272) -  DRAKOS KONSTANTINOS

Περιγραφή Μαθήματος

Course description

 

This course will focus on modern time series financial econometric techniques. Special emphasis will be given to various aspects of analyzing economic/accounting/financial data and in particular on model building and testing, by taking into account the properties of time series. A substantial part of the course will deal with the estimation and interpretation of dynamic models and how they can be used in applied contexts.  

 

Detailed topics to be covered

 

• What is a time series, definition and intrinsic properties, levels vs. first differences, the notion of lags, the notion and use of the Correlogram, Stationarity vs. Non-Sttionarity.  
• Univariate modelling, ARIMA models, The Box-Jenkins approach, identification, estimation and testing.  
• Formal testing for Unit Roots, Dickey-Fuller test, Phillips-Perron test.
• Dynamic Modelling, Vector Autoregressive Models, Granger Causality.
• Modelling Long-Run relationships, the notion of Cointegration, The Engle-Granger Approach.
• Long-Run Relationships in Multivariate Dynamic Systems, Vector Error Correction Model, the Johansen Approach.
• Modelling Time-Varying Volatility, Generalised Autoregressive Conditional Heteroscedasticity (GARCH) Models.  

Ημερομηνία δημιουργίας

Πέμπτη, 24 Σεπτεμβρίου 2015