Time Series Econometrics

The goal of the course is twofold: (1) develop a comprehensive set of tools and techniques for analyzing various forms of univariate and multivariate time series; (2) show how to use econometric software such as Matlab or RATS to estimate time series models. The topics include stationary univariate models (ARMA), non-stationary univariate models (ARIMA), regime-switching, multivariate time-series models (VAR and cointegration), and conditional heteroscedasticity. The tools developed in the course represent a key ingredient to address many research questions in the fields of finance, financial engineering, economics, and marketing. Moreover, the student will become familiar with econometric models and forecasting techniques routinely used by financial and economic institutions as well as business companies.