TILS633 Aikasarjaekonometria
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last modified
Jun 19, 2017 03:55 PM
Course begins and ends
May 23, 2017 - Jun 20, 2017.Course contents
Univariate models: long memory models, ARCH models and generalizations, stochastic volatility models, non-gaussian return distributions, dynamic chaos models, analysis of rescaled range (R/S)
Multivariate models: cross-correlation matrices, VAR models, unit root nonstationarity and cointegration, cointegrated VAR models, multivariate volatility models
Prerequisities
TILS619 Aikasarja-analyysi, 4 op
tai taloustieteen KTTS288 Applied Time Series Analysis for Financial Economics, 6
Literature
Tsay, R. S. 2010. Analysis of Financial Time series. 3rd ed.
TILS633 Aikasarjaekonometria