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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Arkistoitu opetussuunnitelma 2016–2018
Selaamasi opetussuunnitelma ei ole enää voimassa. Tarkista tiedot voimassa olevasta opetussuunnitelmasta.
KT043121 KTS38 Financial and time series econometrics 6 op
Organised by
Economics
Planned organizing times
Period(s) I II III IV
2016–2017 X
Preceding studies
Recommended:

Learning outcomes

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.

Contents

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.

Teaching methods

Teaching method Contact Online
Lectures 24 h 0 h

Teaching language

English

Modes of study

Option 1
Available for:
  • Degree Programme Students
  • Other Students
  • Doctoral Students
  • Exchange Students
Written exam
  • In English
Written exam
  • In Finnish

Evaluation

Numeric 0-5.

Recommended year of study

4. year autumn
5. year autumn

Study materials

Course material provided by the lecturers.

Belongs to following study modules

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2018–2019
Teaching
Archived Teaching Schedule. Please refer to current Teaching Shedule.
Implementation details are unavailable.
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Opintokokonaisuudet