Times Series Econometrics

2023/2024

Academic Year

ENG

Instruction in English

6

ECTS credits

Delivered at:

School of Finance

Course type:

Elective course

When:

4 year, 1, 2 module

Instructors

Karamysheva, Madina

Slabolitskiy, Ilya S.

Course Syllabus

Abstract

We first review the basics of time series econometrics. Then, in more details, we look at the VAR class of models, including VAR, VARX, VECM, GVAR, and its rather broad application to macroeconomics, including fiscal and monetary policy and some finance applications. After that, we cover ARCH, GARCH with its application to value at risk and contagion. Course Prerequesites: Linear Algebra, Probability Theory, Mathematical Analysis, Basic Econometrics.