Course description

The goal of the course is to provide students with basic econometric tools for the analysis of time series data for Finance, including models for stationary and non-stationary data, univariate and multivariate analysis. The course aims to improve students understanding of the main principles and concepts of applied time series analysis, selection of adequate modelling technique for a problem at hand, estimation of the model and its application for the problems in Finance: predicting returns on risky assets, forecasting volatility of bond returns, modelling exchange rates and commodity prices, testing the models in real-time and many other problems.

Learning outcomes

Upon successful completion of this course, students will be able to:

• Understand the key concepts and instruments of time series analysis, the role of time series models in financial econometrics.
• Demonstrate the ability to carry out the econometric project including: data preparation and diagnostics, specification of econometric model, selection of the appropriate time series technique.
• Present the model outcomes both at advanced and intuitive levels; interpret the estimation output from economic and statistical point of view.
• Apply estimated econometric time series models for forecasting and policy analysis.