STAT 4170
Financial Time Series and Forecasting
Course Description
Pre-Requisite(s):
A prior course in probability, a prior course in regression, and a prior course in programming
This course introduces topics in time series analysis as they relate to financial data. Topics include properties of financial data, moving average and ARMA models, exponential smoothing, ARCH and GARCH models, volatility models, case studies in linear time series, high frequency financial data, and value at risk.
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