Syllabus
1. Introduction
2. OLS and basics
3. Introduction to Time Series
4. ARIMA Modeling
5. GARCH (2 lectures)
6. Introduction to Cointegration
7. Vector Autoregression
8. TSLS, IV
9. Non-linear time series models
10. Limited dependent variable models in finance
11. Time series filters
12. Networks
13. Guest lecture
Annotation
The course concentrates on the practical use of econometric methods, reviewing the relevant methodology, its use, and possible alternative modeling approaches. The lectures are supplemented by computer classes, where students can gain hands-on experience in applied econometric analysis.
During the course, we will especially focus on time series techniques applied to forecasting asset volatility, modeling inflation, exchange rate volatility, and other topics that you may regularly encounter in economic and financial literature. The course focuses on the following topics in econometrics: OLS, IV, ARIMA, GARCH, VAR, cointegration, filters, and limited dependent variables.