The course introduces the student to time series models in econometrics. About half of the course is devoted to stationary ARMA models. The course then considers multivariate time series models, unit roots, cointegration, and ARCH and GARCH models. Examples are taken from financial economics.
The course alternates and is given every other year (see Additional information).
The course is intended for master students in finance and economics with an interest in statistics and econometrics. The course can also be taken by doctoral students.
Enrolment key in Moodle: TSA22
- Teacher: Niklas Ahlgren
- Teacher: Thoi Mai
The course provides the student with an introduction to advanced econometrics. The subjects include, probability, asymptotic theory, time series, volatility models and simulation methods in econometrics.
The course is intended for master students in finance and economics with an interest in statistics and econometrics. The course can also be taken by doctoral students.
Enrollment key: ATSE21
- Teacher: Niklas Ahlgren
- Teacher: Alexander Back
- Teacher: Theogene Habimana
- Teacher: Thoi Mai