Overview

Description

CALENDAR DESCRIPTION:

Advanced topics in finance with a focus on derivative securities. Offered once every other year.

COURSE DETAILS:

Economic forecasting is a key ingredient of decision making both in the public and in the private sector. We introduce econometric and statistical methods and models to forecast future expected economic conditions and predict specific indicators of interest (such as income growth, inflation, interest rates…). Specifically, we focus on:
(i)  Forecasting with the linear regression model;
(ii)  Forecasting with time series models;
(iii) Models for large datasets.  

This is an applied time series forecasting course that focuses on:         

• understanding the implications of the abovementioned methods and models for economic and financial interpretation;
• practical implementation and use of these methods and models for data analysis using appropriate computer program;
• without providing all their theoretical foundations and justifications.

Prerequisite: Undergraduate econometrics course; some basic data analysis and programming skills. [**Please note: while the calendar lists ECON 815 as a prereq, ECON 815 is NOT REQUIRED for enrollment in 818].

Grading

Materials

REQUIRED READING:

RECOMMENDED READING: