STAT445-22S2 (C) Semester Two 2022

Financial Time Series

15 points

Details:
Start Date: Monday, 18 July 2022
End Date: Sunday, 13 November 2022
Withdrawal Dates
Last Day to withdraw from this course:
  • Without financial penalty (full fee refund): Sunday, 31 July 2022
  • Without academic penalty (including no fee refund): Sunday, 2 October 2022

Description

Financial Time Series

In many applications, in particular in finance and economics, observed data series often exhibit a behaviour which cannot be modelled with linear time series models (i.e. ARMA processes). Thus alternative models allowing for a nonlinear behaviour are called for and are successfully used. For instance, Robert Engle was awarded the Nobel Prize in 2003 for introducing the so-called (G)ARCH model. In this course we will first review some materials on linear time series methods, then consider and analyse several classes of nonlinear time series models, such as GARCH, Markov-switching as well as threshold autoregressive time series models. We study their common probabilistic and statistical concepts and theory (Markov chains with uncountable state space, stochastic recurrence equations, ergodicity and mixing). Finally, we will derive and apply estimators for the model parameters.

STAT445 course is required for the BSc (Hons) in Financial Engineering.

Learning Outcomes

  • The Courses will:
  •  introduce data collection and sampling techniques
  •  introduce simple random sampling, stratified sampling and cluster sampling designs along with their strengths and weaknesses
  • introduce the use of the statistics software package R

    You will be able to:
  • describe and conduct appropriate statistical sampling techniques
  • be able to interpret the model results in such a way that a non-user of statistics can understand
  • use R competently
  • write a scientific and technical repo

Prerequisites

Subject to approval of the Head of School.

Course Coordinator / Lecturer

Marco Reale

Indicative Fees

Domestic fee $1,017.00

* All fees are inclusive of NZ GST or any equivalent overseas tax, and do not include any programme level discount or additional course-related expenses.

For further information see Mathematics and Statistics .

All STAT445 Occurrences

  • STAT445-22S2 (C) Semester Two 2022