Economics 350: Financial Time Series Econometrics

This course is designed to be an introduction to time series analysis and forecasting methods with focus on applications in financial economics. It introduces a set of tools and techniques for analyzing various forms of univariate and multivariate time series. These tools and techniques are used in economics and finance for asset pricing prediction, dynamic portfolio selection, risk management and asset management. Some of the main topics include basic returns data characteristics, ARMA models, Vector Autoregressive (VAR) models, testing for unit roots and cointegration, Vector Error Correction Models (VECM), Structural VAR and ARCH/GARCH models with extensions, value at risk (VaR), etc. Upon successful completion of this course, students are expected to use advanced data analysis software packages to estimate time series models.