o Acquaintance with advanced time series models and techniques.
o Good grasp of practical issues in the modeling of financial markets (non-stationarity, short-term and long-term trends, fluctuations in volatility).
o Learning popular software packages for time series analysis.
o Developing a solid understanding of practical aspects of econometric model-building (outlier detection, data visualisation, diagnostic testing, etc).
Course Content (Syllabus)
• The fundamentals of time-series analysis: time series vs stratified data, conditional distribution, conditional mean and variance, short-term and long-term predictions, trend, mean-reversion, periodicity.
• 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.
• Seasonal time-series analysis models: basic concepts and seasonality detection tools, extending the basic ARMA modelling framework, application in time series with strong seasonal components (product sales, power consumption, etc).
• Non-stationarity in financial time series: unit roots and non-stationarity, detecting unit roots using rules-of-thumb and formal statistical tests (DF, ADF, PP), application in the study and predictability of some key financial market indicators, co-integration and error correction models.
• Risk measuring models: types of financial risks, short-term changes in volatility levels, volatility clustering, autoregressive conditional heteroskedasticity (ARCH) and generalised autoregressive conditional heteroskedasticity (GARCH), the family of GARCH models, extensions of the basic GARCH framework - asymmetric volatility effects, application in the analysis of investment risk - estimating the Value-at-Risk of an asset.
Additional bibliography for study
Xρήστου Γ. (2011), Εισαγωγή στην Οικονομετρία, Gutenberg.
Enders, W. (2009), Applied Econometric Analysis, John Wiley & Sons, 3rd edition.
Brooks, Ch. (2008), Introductory Econometrics For Finance, Cambridge University Press, 2nd edition.
Box G., Jenkins, G. M., Reinsel, G. (2008), Time Series Analysis: Forecasting & Control, Prentice Hall, 4th edition.
Alexander, C. (2009), Market Risk Analysis, Four Volume Boxset, Wiley.