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.
• Volatility models: heteroskedasticity and 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.
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.