IAM526 TIME SERIES APPLIED TO FINANCE
| Course Code: |
9700526 |
| METU Credit (Theoretical-Laboratory hours/week): |
3(3-0) |
| ECTS Credit: |
8.0 |
| Department: |
Institute Of Applied Mathematics |
| Language of Instruction: |
English |
| Level of Study: |
Graduate |
| Course Coordinator: |
Prof.Dr. ÖMÜR UÐUR |
| Offered Semester: |
Fall or Spring Semesters. |
Course Content
This course introduces time series methodology emphasizing the data analytic aspects related to financial applications. Topics that will be discussed are as follows: Univariate linear stochastic models: ARMA and ARIMA models building and forecasting using these models. Univariate non-linear stochastic models: Stochastic variance models, ARCH processes and other non-linear univariate models. Topics in the multivariate modeling of financial time series. Applications of these techniques to finance such as time series modeling of equity returns, trading day effects and volatility estimations will be discussed.
