Applied Time-Series Econometrics Course 2018

About

General

  • This 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 incredibly powerful 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

Course Material

Practicals:

  • Excel Cleaning Excercise

    • Often our data is in raw excel format, and we’re interested in exporting it from excel into a statistics program.

    • Let’s use the above link excel file as an example of building a simple macro to get it into the following format:

date | XXX | YYY | ZZZ

Where XXX is the first three letters of the Ticker name, and the values that follow are all the PX_LAST values.


Contact:

Nico Katzke

Email: nfkatzke@gmail.com


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