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 analyze and forecast financial and macroeconomic data - including asset returns and volatility. We are especially interested in predicting future expected economic conditions and specific indicators of interest - such as income growth, inflation, interest rates… We focus on:

• Forecasting with the linear regression model;
• Forecasting with time series models;
• Introducing 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 programs in R;
• without providing all their theoretical foundations and justifications.

 

Grading

Materials

RECOMMENDED READING:

REQUIRED READING NOTES: