Financial Time Series Analysis 7,5 hp

Undervisningen bedrivs på engelska.

Kursinnehåll

>>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).

Förkunskapskrav

30 credits including Business Statistics 2, 7.5 credits or Econometrics 1, 7,5 credits.

Utbildningsnivå: Grundnivå G1F
Kurskod/Ladokkod: FSGK13
Kursen ges vid: Jönköping International Business School