Financial time series analysis
7.5 ECTS creditsThe course covers the use of statistical and mathematical methods for analysing time series data, with a focus on applications in finance. The course includes the following components:
- descriptive methods
- autoregressive processes
- regression models
- various statistical tests, including Unit Root tests
- stationary and integrated linear models
- volatility models
- methods for studying extreme events
- methods for analysing multiple financial time series (multivariate methods)
Progressive specialisation:
A1N (has only first‐cycle course/s as entry requirements)
Education level:
Master's level
Admission requirements:
30 credits in Statistics, or NEGC16 Applied econometrics (7.5 credits), or NEAD17 Applied econometrics (7.5 credits), or a Bachelor's degree with Economics as the main field of study. An equivalence assessment can be made.
Selection:
Selection is usually based on your grade point average from upper secondary school or the number of credit points from previous university studies, or both.
This course is included in the following programme
- Programme in Business and Economics (studied during year 4)
- Master programme in applied economics and advanced analytical methods (studied during year 2)