| Author | Affiliation | GitHub |
|---|---|---|
| N.F. Katzke. | Prescient Securities | https://github.com/nicktz |
This is a short course (5 weeks) intended to provide students with an intuitive and applied overview of the core concepts of time-series statistics.
The course is presented as part of the Master’s curriculum to Stellenbosch University Economics students.
We will be covering concepts related to time-persistence, stationarity and cointegration, as well as combining it into a system of equations used for forecasting.
Practicals will be done in Eviews, a statistical package used widely by Central Banks and private macroeconomic institutions to do forecasting.
This course builds into the next (Financial Econometrics), where we look deeper into volatility modelling, portfolio optimization, risk analysis and copula modeling. We will be using R in that course.