Bachelor
2023/2024
Times Series Econometrics
Type:
Elective course (Economics)
Area of studies:
Economics
Delivered by:
School of Finance
Where:
Faculty of Economic Sciences
When:
4 year, 1, 2 module
Mode of studies:
offline
Open to:
students of one campus
Language:
English
ECTS credits:
6
Contact hours:
58
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.