Financial Times Series
- Familiarity with the basic concepts of time series, the importance of financial time series, the aims of the course
- Introduction to Probability and Statistics
- Linear time series and their applications
- Concepts of stationary, correlation and auto-correlation function
- The simple auto-regressive model
- AR(p) models, parameters estimation and forecasting
- The moving-average models (MA models)
- Introduction to ARMA models
- Long-term memory models
- Introduction to Wavelet and its application in financial time series
- Conditional heteroskedasticity model
- GARCH-type models
- Financial time series implementation with MATLAB software
- Nonlinear financial time series models
- Applications of financial time series in financial problems
- Students presentations