STAT 956 - Financial and Economic Time Series

Institution:

University of Pennsylvania

Subject:

Description:

Steele. Prerequisite(s): A graduate course in statistics or econometrics. Familiarity with linear algebra. This graduate course introduces students to the time series methods and practices which are most relevant to the analysis of financial and economic data. The course will address both theoretical and empirical issues. Extensive use will be made of the S-Plus Statistical Language, but no previous experience of S-Plus will be required. The course begins with a quick review of ARIMA models. Most of the course is devoted to ARCH, GARCH, threshold, switching Markov, state space, and nonlinear models.

Credits:

3.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.upenn.edu

Phone Number:

(215) 898-5000

Regional Accreditation:

Middle States Association of Colleges and Schools

Calendar System:

Semester

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