TIME SERIES ANALYSIS
| Title | ΑΝΑΛΥΣΗ ΧΡΟΝΟΛΟΓΙΚΩΝ ΣΕΙΡΩΝ / TIME SERIES ANALYSIS |
| Code | ΠΑ23 |
| Faculty | Social and Economic Sciences |
| School | Economics |
| Cycle / Level | 2nd / Postgraduate |
| Teaching Period | Spring |
| Coordinator | Konstantinos Katrakylidis |
| Common | No |
| Status | Active |
| Course ID | 100001766 |
Programme of Study: PPS Administration and Economy (2013-today)
Registered students: 12
| Orientation | Attendance Type | Semester | Year | ECTS |
|---|---|---|---|---|
| Economic and Regional Development | Elective Courses | 2 | 1 | 6 |
| International and European Economics | Elective Courses | 2 | 1 | 6 |
| Academic Year | 2016 – 2017 |
| Class Period | Spring |
| Faculty Instructors |
|
| Weekly Hours | 3 |
| Class ID | 600068176
|
Course Type 2016-2020
- Background
Course Type 2011-2015
General Foundation
Mode of Delivery
- Face to face
Digital Course Content
- e-Study Guide https://qa.auth.gr/en/class/1/600068176
- eLearning (Moodle): https://elearning.auth.gr/course/view.php?id=6582
Language of Instruction
- Greek (Instruction, Examination)
Learning Outcomes
• Good grasp of theories and models for time series analysis.
• Acquaintance with practical issues in data analysis (data cleansing and preprocessing, model estimation, diagnostic testing, etc).
• Demonstration of how advanced econometric models can be estimated and tested in a computer environment.
General Competences
- Apply knowledge in practice
- Retrieve, analyse and synthesise data and information, with the use of necessary technologies
- Make decisions
- Work autonomously
- Work in an international context
- Work in an interdisciplinary team
- Generate new research ideas
- Design and manage projects
Course Content (Syllabus)
• Fundamentals concepts in time-series analysis: time series vs stratified data, conditional distribution, conditional mean and variance, short-term and long-term predictions, trends, mean-reversion and seasonality.
• Popular time-series analysis techniques: autocorrelation and partial autocorrelation functions, autoregressive (AR) and moving-average (MA) models, mixed ARMA models, basic properties, model specification and diagnostics, the Box-Jenkins framework.
• Volatility models: short-term changes in price volatility, volatility clustering, moving average (MA) and exponential weighted moving average (EWMA) models for the volatility dynamics, autoregressive conditional heteroskedasticity (ARCH), the family of GARCH models, extensions of the basic GARCH framework - asymmetric volatility effects, empirical applications.
• Covariance models: time variations in the covariance structure of time series, EWMA models and multivariate extensions of the basic GARCH framework, empirical applications.
• Panel data analysis techniques
Educational Material Types
- Notes
- Slide presentations
- Book
- Real time-series data
Use of Information and Communication Technologies
Use of ICT
- Use of ICT in Course Teaching
- Use of ICT in Laboratory Teaching
- Use of ICT in Communication with Students
Description
Time Series Analysis aims at teaching state-of-the-art theories and techniques for the analysis of time-indexed data. We present a variety of models able to capture different stylized facts of real-life time series (autocorrelations in mean, memory effects in variance, time fluctuations in covariance levels). A significant part of the course is devoted to panel data analysis techniques.
Course Organization
| Activities | Workload | ECTS | Individual | Teamwork | Erasmus |
|---|---|---|---|---|---|
| Lectures | ✓ | ||||
| Laboratory Work | ✓ | ||||
| Project | ✓ | ||||
| Total |
Student Assessment
Student Assessment methods
- Written Exam with Problem Solving (Summative)
- Labortatory Assignment (Summative)
Bibliography
Course Bibliography (Eudoxus)
1) Κ. Συριόπουλος, Δ. Φίλιππας, Οικονομετρικά Υποδείγματα και Εφαρμογές, εκδ. Ε. & Δ. Ανικούλα, Θεσσαλονίκη 2010.
2) Γ. Χάλκος, Οικονομετρία, εκδ. Gutenberg, Αθήνα 2011.
Additional bibliography for study
1) Xρήστου Γ. (2011), Εισαγωγή στην Οικονομετρία, Gutenberg.
2) Enders, W. (2009), Applied Econometric Analysis, John Wiley & Sons, 3rd edition.
4) Brooks, Ch. (2008), Introductory Econometrics For Finance, Cambridge University Press, 2nd edition.
5) Box G., Jenkins, G. M., Reinsel, G. (2008), Time Series Analysis: Forecasting & Control, Prentice Hall, 4th edition.
6) Alexander, C. (2009), Market Risk Analysis, Four Volume Boxset, Wiley.
Last Update
11-06-2015
