MSAN 604 - Time Series Analysis

Credits: 2

A survey of the theory and application of time series models, with a particular emphasis on nancial and business applications (e.g., exchange rates, sales data, Value-at-Risk, etc.). Tools for model identication, estimation, and assessment are developed in depth. Smoothing methods and trend/seasonal decomposition methods are covered as well, including moving average, exponential, Holt-Winters, and Lowess smoothing techniques. Finally, volatility clustering is modeled through ARCH, GARCH, EGARCH, and GARCH-in-mean specications. Statistical packages include R and SAS.

Restriction: Restricted to Graduate level; Restricted to Analytics Majors SC