Delivered at:: HSE Banking Institute

Course type:: Elective course

When:: 2 year, 3 module

Abstract

The course is an introduction to main forecasting techniques used in economics and finance. It covers topics ranging from data collection and preparation to econometrics, general equilibrium and machine learning models used in forecasting. This course is mostly practical, not theoretical, so a significant amount of time will be devoted to application of the models discussed to real data.

Learning Objectives

The main aim of the course is to provide the students with understanding of how the forecasting is usually conducted. It includes both the ability to use and evaluate external forecasts and the ability to make forecasts themselves.
Students should be able to find the data they need, choose the model suitable to a certain problem, evaluate the forecasting performance of the model and interpret the results obtained. Apart from that, application of forecasting to decision-making process will be discussed.

Expected Learning Outcomes

• Understand forecasting and how it differs from explanation • Understand outlier detection and missing value imputation techniques • Understand the primary seasonal adjustment techniques
• Know the main univariate forecasting models
• Know the main multivariate forecasting models
• Know the main forecast accuracy measures • Be able to cross-validate the model
• Understand the problem and main techniques of nowcasting • Be familiar with main methods of working with mixed-frequency data
• Be familiar with Bayesian and machine learning approaches

Course Contents

The process of forecasting and data preparation
Univariate forecasting models
Multivariate time series
Forecast comparison and evaluation
Nowcasting and forecast combination
Advanced topics

Assessment Elements

Test 1
Test 2
Test 3
Test 4
Test 5
Test 6
Exam

Interim Assessment

2023/2024 3rd module
0.61 * Exam + 0.065 * Test 1 + 0.065 * Test 2 + 0.065 * Test 3 + 0.065 * Test 4 + 0.065 * Test 5 + 0.065 * Test 6

Bibliography

Recommended Core Bibliography

Enders, W. (2015). Applied Econometric Time Series (Vol. Fourth edition). Hoboken, NJ: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1639192

Recommended Additional Bibliography

Economic forecasting and policy, Carnot, N., 2011
International Monetary Fund. Monetary, & Capital Markets Department. (2019). Global Financial Stability Report, October 2019. [N.p.]: INTERNATIONAL MONETARY FUND. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=2274328
Makridakis, S., Wheelwright, S. C., & Hyndman, R. J. (1998). Forecasting: Methods and Applications. Cyprus, Europe: John Wiley & Sons, Inc. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.F848CE7

Master of Finance

Forecasting at the Financial Markets

Course Syllabus