ECO-4105 : Econometrics 2

ECO-4105 : Econometrics 2

Responsible teacher: Alexei TSYGVINTSEV (alexei.tsygvintsev [at] ens-lyon.fr)

 The topics of the course are the following:

1. Basic principles of financial Time Series (stationarity and forecasting). Examples.


2. Simple Autoregressive Models. Lags,  Autocorrelation Function.  AR(p) models and their identifying/parameter estimation.  Condition for stationarity.  Forecasting.
3. Basic ideas of Non-Linear Optimisation. Gradient Descent. Maximal Likelihood method. Examples. 


4. Simple Moving Average Models, MA(q). Estimation of coefficients.  Forecasting.  Examples.


5. Different forms of ARMA(q,p) models, invertibility. Examples.


6. VAR models. Estimation of parameters. Forecasting.


7. Artificial Neural Networks and their applications to Time Series analysis. Examples

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8. Random Walks.  Fractal characteristics of Times Series.