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CEA CAPA Partner Institution: Universidad Carlos III de Madrid
Location: Madrid, Spain
Primary Subject Area: Business
Instruction in: English
Course Code: 14058
Transcript Source: Partner Institution
Course Details: Level 300, 400
Recommended Semester Credits: 3
Contact Hours: 42
Prerequisites: Statistics I, Statistics II
DESCRIPTION
1. Introduction 1.1 Dynamic data in business administration problems 1.2 Objectives of the analysis of dynamic data: description of the evolution and forecasting 1.3 Differences between temporal and cross-sectional data: dependence and heterogeneity 1.4 Stochastic processes: stationarity 1.5 Marginal and conditional distributions. Uncorrelatedness and independence 1.6 Examples: Sales, oil prices, IBEX prices
2. Linear models: Forecasting 2.1 ARMA models: properties 2.2 Fitting ARMA models: estimationa and diagnosis 2.3 Forecasting using ARMA models 2.4 Forecast evaluation 2.5 Evolution and forecasts of Google Trends variables
3. Multivariate models: relationships between variables 3.1 Characteristics of VAR models 3.2 Dynamic regression models 3.3 Transfer functions 3.4 Forecasts in dynamic regression models 3.5 Cointegration: Equilibrium correction models 3.6 Measuring the dynamic relationship between international prices
4. Models for volatilities 4.1 Empirical characteristics of financial variables 4.2 Properties of GARCH models 4.3 Forecasting volatilities: Computing Value at risk 4.4 Analysis of IBEX returns 4.5 Multivariate GARCH models 4.6 Correlations between exchange rate returns: Portfolio management
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