Statistics, Financial and Macro Economic Time Series Models, Second Cycle, 7.5 credits

Aims and objectives

General aims for second cycle education

Second-cycle courses and study programmes shall involve the acquisition of specialist knowledge, competence and skills in relation to first-cycle courses and study programmes, and in addition to the requirements for first-cycle courses and study programmes shall

• further develop the ability of students to integrate and make autonomous use of their knowledge
• develop the students' ability to deal with complex phenomena, issues and situations, and
• develop the students' potential for professional activities that demand considerable autonomy, or for research and development work.

(Higher Education Act, Chapter 1, Section 9)

Course objectives

The general goal of the course is to give deepened knowledge of time series analysis and models that are useful in applied financial economics and macro economics.

After completion of the course, the student will have

• deeper knowledge of basic concepts in time series analysis
• deeper knowledge of univariate and multivariate modelling of stationary and non-stationary time series.
• deeper knowledge of common models for volatility.
• the ability to critically evaluate different time series models and to choose an appropriate modelling approach.
• the ability to communicate modelling issues and results.

Main content of the course

Linear (ARIMA) time series models

• Identification and estimation
• Unit roots

Conditional heteroskedasticity

• ARCH- and GARCH-models
• Stochastic volatility models

Financial risks

• Value at Risk
• Expected shortfall

Multivariate time series models

• VAR
• Cointegration

Time series models in State Space form

• The Kalman filter
• Smoothing

Teaching methods

Lectures and tutorials.

Students who have been admitted to and registered on a course have the right to receive tuition and/or supervision for the duration of the time period specified for the particular course to which they were accepted (see, the university's admission regulations (in Swedish)). After that, the right to receive tuition and/or supervision expires.

Examination methods

Written Examination, 5 credits (Code: A001)
Individual written examination.

Assignments, 2.5 credits (Code: A002)
Individual written reports.

For students with a documented disability, the university may approve applications for adapted or other forms of examinations.

For further information, see the university's local examination regulations (in Swedish).

Grades

According to the Higher Education Ordinance, Chapter 6, Section 18, a grade is to be awarded on the completion of a course, unless otherwise prescribed by the university. The university may prescribe which grading system shall apply. The grade is to be determined by a teacher specifically appointed by the university (an examiner).

In accordance with university regulations regarding grading systems for first and second-cycle courses (Vice-Chancellor’s decision ORU 2018/00929), one of the following grades shall be used: Fail (U), Pass (G) or Pass with Distinction (VG). For courses that are included in an international Master’s programme (60 or 120 credits) or offered to the university’s incoming exchange students, the grading scale of A-F shall be used. The vice-chancellor, or a person appointed by the vice-chancellor, may decide on exceptions from this provision for a specific course, if there are special grounds.

Grades used on course are Fail (F), Sufficient (E), Satisfactory (D), Good (C), Very Good (B) or Excellent (A).

Written Examination
Grades used are Fail (F), Sufficient (E), Satisfactory (D), Good (C), Very Good (B) or Excellent (A).

Assignments
Grades used are Fail (U) or Pass (G).

For further information, see the university's local examination regulations (in Swedish).

Comments on grades

To obtain a passing grade for the course as a whole, a passing grade is required on all course components. The final grade for the entire course is a function of the grades of the course components. Detailed information on the requirements for different grade levels is given at the course start.

Specific entry requirements

First-cycle courses of 90 credits in statistics, including an independent project of 15 credits as well as the course Statistics, Econometrics, Second Cycle, 7.5 credits or first-cycle courses of 90 credits in economics, including an independent project of 15 credits as well as courses of 60 credits in statistics as well as the course Statistics, Econometrics, Second Cycle, 7.5 credits. The applicant must also have qualifications corresponding to the course "English 6" or "English B" from the Swedish Upper Secondary School.

For further information, see the university's admission regulations (in Swedish).

Transfer of credits for previous studies

Students who have previously completed higher education or other activities are, in accordance with the Higher Education Ordinance, entitled to have these credited towards the current programme, providing that the previous studies or activities meet certain criteria.

For further information, see the university's local credit transfer regulations (in Swedish).

Reading list and other teaching materials

Required Reading

Tsay, Ruey S. 2010, 3rd ed.
Analysis of Financial Time Series
Wiley, ISBN/ISSN: 978-0-470-41435-4, 670 sidor, 280 pages of those to be read