Uusi opinto-opas (sisältäen myös opetusohjelmat) lukuvuodelle 2018-2019 sijaitsee osoitteessa https://opas.peppi.utu.fi . Tältä sivustolta löytyvät enää vanhat opinto-oppaat ja opetusohjelmat.

The new study guide (incl. teaching schedules) for academic year 2018-2019 can be found at https://studyguide.utu.fi. This site contains only previous years' guides.

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Archived Curricula Guide 2014–2016
Curricula Guide is archieved. Please refer to current Curricula Guides
KT043108 KTS28/LRS33/TKMS15 Time Series Models and Forecasting 6 ECTS
Organised by
Economics
Person in charge
Heikki Kauppi
Planned organizing times
Period(s) I II III IV
2014–2015 X
2015–2016 X
Preceding studies
Recommended:

Learning outcomes

The aim of the course is that the student learns the basic concepts of time series analysis and that the student masters common time series models and can apply them to forecasting. The course wishes to provide the student with necessary knowledge and practical skills for conducting empirical time series analysis independently.

Contents

The course focuses on univariate time series. The ARMA model and its application to forecasting are considered first. Unit roots and related problems are discussed briefly. Then the course moves to the modeling and forecasting of volatility (conditional variance) mainly by using ARCH and GARCH models. Models for discrete valued time series and related forecast problems constitute a possible topic in the course. Methods for assessing forecast accuracy and for selecting a forecast model are studied. Empirical applications with macroeconomic and financial data are considered throughout the course.

Teaching methods

Teaching method Contact Online
Lectures 24 h 0 h
Exercises 12 h 0 h

Lectures 24 h (Kauppi) and exercises 12 h (NN)

Modes of study

Option 1
Available for:
  • Degree Programme Students
  • Other Students
  • Doctoral Students
  • Exchange Students
Written exam
  • In English
Participation in classroom work
  • In English
Exercise(s)
  • In English

Evaluation

Numeric 0-5.

Recommended year of study

4. year spring
5. year spring

Belongs to following study modules

Department of Accounting and Finance
Valinnaiset opinnot (Quantitative Methods in Management)
Department of Economics
Department of Economics
Department of Economics
Department of Economics
Department of Accounting and Finance
Department of Accounting and Finance
Department of Accounting and Finance
Department of Accounting and Finance
Valinnaiset opintojaksot (Accounting and Finance)
Department of Accounting and Finance
Department of Accounting and Finance
Pakolliset opinnot (Quantitative Methods in Management)
Department of Accounting and Finance
Valinnaiset opinnot (Quantitative Methods in Management)
Department of Accounting and Finance
Department of Accounting and Finance
Department of Economics
Department of Economics
Department of Economics
Department of Economics
Department of Economics
Department of Economics
2015–2016
Teaching
Archived Teaching Schedule. Please refer to current Teaching Shedule.
Implementation details are unavailable.
Department of Economics
Economics
Economics
Finnish Study Modules