Financial Time Series Analysis 7,5 Credits
Course Contents
>>Stationary time-series models (Box-Jenkins, ARMA-models).>>Financial volatility models (ARCH, GARCH, EGARCH etc.).
>>Models with trend (Stochastic and deterministic trends, random walk and unit root testing by e.g. the ADF-test).
>>Vector Autoregressive (VAR) models and the Granger Causality test.
>>Cointegration and Error-Correction Models (ECM).
Prerequisites
30 credits including Business Statistics 2, 7.5 credits or Econometrics 1, 7,5 credits.Level of Education: Undergraduate G1F
Course code/Ladok code: FSGK13
The course is conducted at: Jönköping International Business School
Previous and ongoing course occasions
Type of course
Program
Study type
Campus
Semester
Autumn
2014:
Aug 25
-
Oct 19
Rate of Study
50%
Language
English
Location
Jönköping
Time
Day
Examiner
Pär Sjölander
Course coordinator
Pär Sjölander
Tuition fees do NOT apply for EU/EEA citizens or exchange students
11250kr
Application code
HJ-FSGK3
