- The components of a time
series model
- Additive and multiplicative
models
- Multiple regression analyses
- Spectral decomposition
- Box-Jenkins models
- Forecasting techiniques
- Smoothing of time series
- GARCH and other volatility models
- Stochastic Differential
Equations
Learning
objectives and Graduate Qualities
On completion of this course, students should be able to:
- understand the techniques of
time series analysis and be able to apple them to not financial time
series but also other applications (GQ 1,2,3,4,6)
- prepare a summary of the
scientific literature in a particular topic of interest (1, 2, 4, 6, 7)
- create and interpret
statistical and time series questions and develop strategies for testing
these questions (GQ 1, 2, 3, 4,6)
- perform calculations and
interpret the results of a range of testing and estimation procedures,
paying particular attention to the underlying assumptions(GQ 1,2,3,6).
- use software packages to
analyse data (GQ 1,2,3,4,6)
- write a short summary report
of investigation.(GC 4, 6, 7)
- present the results of an
investigation (GC 6).