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Programos kodas
GRAE018
Kreditai
6
Mokymosi kalba
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:
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