| CODE | BKF4101 | ||||||
| TITLE | Time Series Analysis 1 | ||||||
| UM LEVEL | 04 - Years 4, 5 in Modular UG or PG Cert Course | ||||||
| MQF LEVEL | 6 | ||||||
| ECTS CREDITS | 4 | ||||||
| DEPARTMENT | Banking, Finance and Investments | ||||||
| DESCRIPTION | The study-unit discusses topics such as MCLRM, heteroscedasticity, multicollinearity, autocorrelation, nonnormality, Limited Dependent Variable models, ARMA/ARIMA/VAR modeling, nonstationarity, cointegration and error correction, unit root testing, causality, ARCH/GARCH models, Simultaneous equations systems, IV, 2SLS-3SLS, Vector autoregressive (VAR) models, IRFs etc. Study-unit Aims: The aim of this study-unit is to provide and introduction to time-series analysis in financial econometrics. The students acquire the knowledge of modern econometric techniques in estimating and forecasting financial asset returns and risk (volatility). It emphasizes intuition and problem solving skills rather than formality. In addition, the study-unit familiarizes the students with econometric software. Learning Outcomes: 1. Knowledge & Understanding By the end of the study-unit the student will be able to: - Revisit basic knowledge of MCLRM, heteroscedasticity, multicollinearity, autocorrelation, nonnormality etc.; - Learn to apply Limited Dependent Variable models; - Acquire knowledge of univariate time series modeling i.e., ARMA/ARIMA; - Learn the concepts of nonstationarity, cointegration and error correction; - Detect unit root testing and causality and employing them in modern fiancial applicaitons; - Acquire knowledge of volatility modeling i.e., ARCH/GARCH models; - Aware of multivariate time series modeling, Simultaneous equations systems, IV, 2SLS-3SLS; - Learn about Vector autoregressive (VAR) models, IRFs and variance decomposition approaches. 2. Skills By the end of the study-unit the student will be able to: - Apply time-series analysis in financial econometrics; - Able to estimate and forecast financial asset returns and risk (volatility); - Familiarize with econometric software. Main Text/s and any supplementary readings: - Introductory Econometrics for Finance, Chris Brooks [CB], Cambridge University Press, Eds. 2002, ISBN: 0-521-79367-X |
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| STUDY-UNIT TYPE | Lecture | ||||||
| METHOD OF ASSESSMENT |
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| LECTURER/S | Stelios Bekiros |
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The University makes every effort to ensure that the published Courses Plans, Programmes of Study and Study-Unit information are complete and up-to-date at the time of publication. The University reserves the right to make changes in case errors are detected after publication.
The availability of optional units may be subject to timetabling constraints. Units not attracting a sufficient number of registrations may be withdrawn without notice. It should be noted that all the information in the description above applies to study-units available during the academic year 2023/4. It may be subject to change in subsequent years. |
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