Applied Time-Series Econometrics Course 2018

ANNOUNCEMENT

IMPORTANT NOTICE

  • As mentioned in class, the practical test takes place on Monday 28th of May at 18:00 in the same venue as classes were.

  • Please try and be on time, as we will only have the venue until 20:30.

  • And of course, good luck tonight.

About

General

  • This course is a short course on applied time-series econometrics.

  • The course is intended to offer a highly practical overview of applied time-series econometrics.

  • We will be covering concepts of time-persistence, stationarity and cointegration, as well as combining it into a system of equations used for forecasting.

  • Practicals will be done in Eviews, as it is a widely used tool for modeling system of equations - specifically by macroeconomists and Central Banks.

  • This course builds into the next (Financial Econometrics) in which we will be looking deeper into volatility modelling, portfolio optimization and risk assessment. There we will be using the coding platform R.

Lecturer

Lecturer

  • Nico Katzke (MComm, Cum Laude; prospective Phd: Quantitative Finance): Senior Quantitative Analyst, Prescient Securities, Stellenbosch University.

  • Github

Course Outline

Find the Course Outline here


Contact:

Nico Katzke

Email: nfkatzke@gmail.com


Leave a Comment: