KT049023 YLJ9 Financial and time series econometrics 6 op
Organised by
Economics
Person in charge
Heikki Kauppi (Department of Economics) and Henri Nyberg (Department of Mathematics and Statistics)
Planned organizing times
Period(s) I II III IV
2016–2017 X
Preceding studies
Recommended:

General description

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.

Learning outcomes

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.

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 28 h 0 h

Lectures, Problem Sets

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.

Study materials

Course material provided by the lecturers.

Further information

NB! The course YLJ9 is not organized during academic year 2017-2018. Instead students can participate in TILM3586 Moniulotteinen aikasarja-analyysi 6 op. TILM3586 is equivalent to YLJ9.

Belongs to following study modules

Turun kauppakorkeakoulu
General Postgraduate Studies (Yleistieteelliset opinnot)
Turun kauppakorkeakoulu
Doctoral courses offered by the Graduate School (UTUGS) (Turun yliopiston tutkijakoulu, kauppatiet.alan op.)
2016–2017
Teaching
Archived Teaching Schedule. Please refer to current Teaching Shedule.
Implementation details are unavailable.
Taloustieteen laitos
Opintokokonaisuudet