TILS633 Aikasarjaekonometria

by admin 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.