Time Series Econometrics

This course teaches estimation, testing, and forecasting time series models. It covers univariate and multivariate time series with topics including ARIMA models, unit roots, cointegration, VAR models, Granger causality, and ARCH models (e.g., GARCH, EGARCH). There will be an emphasis on practical financial and economic applications. In particular, this course will emphasize the methods used in finance to measure risk and model volatility and the dynamic relationships between global financial markets.

Credits: 3 Cr.