Analysis of Macroeconomic and Financial Markets Data*

Friedrich-Alexander-Universität Erlangen-Nürnberg
LEVEL
Bachelor
TYPE
Course
MODES
-
LANGUAGE
-
ECTS
50
PERIOD
17/10/2022 to 10/02/2023

Course Description

The course starts with an inspection of various features of different time series with a special focus on trends and seasonal fluctuations. We will see what changes in terms of econometrics once we introduce a time dimension. Students will learn how to model time series processes using the ARMA framework. Subsequently, the course covers the basics of time series forecasting and methods for evaluating time series forecasts. We will discuss what changes if our data exhibit so-called stochastic trends and how we can test for them. Finally, we review the most important properties of financial markets data and cover the basics of GARCH models which is the most commonly used type of model to capture these properties.

Educational-info

ECTS

50

Validation mode

Written Examination

Organizer

Partner

Friedrich-Alexander-Universität Erlangen-Nürnberg

Faculty

Faculty of Business, Economics, and Law

Department

Statistics and Econometrics

Contact or registration links