KT043121 KTS38 Financial and time series econometrics 6 op
Vastuutaho
Taloustiede
Vastuuhenkilö
Heikki Kauppi
Suunnitellut järjestämisajankohdat
Periodi I II III IV
2016–2017 X
Edeltävät opinnot
Suositellaan:

Yleiskuvaus

This is an advanced course on time series econometrics with applications in finance and macroeconomics. The course is useful to anyone interested in advanced time series techniques and is a natural continuation to students who have mastered the TSE course "Time series models and forecasting" (KTS28) or equivalent. The course can be a part of master's or doctoral studies. The actual requirements are specific to the level of study and will be specified during the course. The course is provided jointly by the Department of Economics and the Department of Mathematics and Statistics.

Osaamistavoitteet

After the course, the student masters a wide range of advanced time series models and techniques and is able to apply them to analyze financial and macroeconomic data. The student should be able to argue why a chosen model is suitable for handling a given empirical problem and to assess the model's adequacy by appropriate statistical methods.

Sisältö

The course focuses on four areas of time series econometrics: (i) univariate linear time series models, (ii) nonlinear time series models for conditional mean and conditional variance, (iii) multivariate time series models (especially VAR and SVAR models), (iv) models for discrete valued time series. Unit roots and co-integration techniques are also covered within (i) and (iii). Empirical applications include topics such as the efficient market hypothesis, CAPM, predictive regressions, volatility modeling, Granger causality, impulse response analysis.

Toteutustavat

Opetustapa Paikalla Verkossa
Luento-opetus 24 t 0 t

Lectures, Problem Sets

The course isn't arranged in the academic year 2017-18.

Opetuskieli

englanti

Vaadittavat opintosuoritukset

Suoritusvaihtoehto 1
Kohderyhmät:
  • Tutkinto-ohjelman omat opiskelijat
  • Muut opiskelijat
  • Tohtoriopiskelijat
  • Vaihto-opiskelijat
Kirjallinen tentti
  • englanniksi
Kirjallinen tentti
  • suomeksi

Arviointi

Numerolla 0-5.

Suositellut suoritusajankohdat

4. vuoden syksy
5. vuoden syksy

Kirjallisuus/Oppimateriaali

Course material provided by the lecturers.

Lisätietoja

The course isn't arranged in the academic year 2017-18.

Kokonaisuudet, joihin opintojakso kuuluu

Taloustieteen laitos
Taloustieteen laitos
Valinnaiset opinnot (Taloustiede)
Taloustieteen laitos
Valinnaiset opinnot (Taloustiede)
Taloustieteen laitos
Taloustieteen laitos
Taloustieteen laitos
Taloustieteen laitos
Taloustieteen laitos
Taloustieteen laitos
2016–2017
Opintojakso opetusohjelmassa
Opetusohjelma ei ole enää voimassa. Tarkista tiedot voimassa olevasta opetusohjelmasta.
Toteutustietoja ei ole taltioitu.
Taloustieteen laitos
Opintokokonaisuudet