Applied Time Series

Ects : 3
Compétence à acquérir :
Master the econometrics (dynamic) tools used in empirical finance

Description du contenu de l'enseignement :
Stationarity, autocorrelation, ARMA models, volatility models (GARCH, Stochastic volatility, Regime switching models ...)
To study the theory, modeling, programming, and interpretation of the major time series models