Prerequisites: 16:958:563 or permission of instructor. Features of financial time series. Model-based forecasting methods, autoregressive and moving average models, ARIMA, ARMAX, ARCH, GARCH, stochastic volatility model, regime switching models, state-space models and nonparametric time series models. Model building, estimation, forecasting and model validation, missing data, parametric and nonparametric bootstrap methods for time series. High frequency financial data, Value-at-risk and extreme value theory.
FSRM 16:958:565 Financial Time Series Analysis
- Course Synopsis/Sample Syllabi: Course Synopsis/Sample Syllabi