Università degli Studi di Napoli "Parthenope"

Teaching schedule

Academic year: 
2014/2015
Belonging course: 
Course of Bachelor's Degree Programme on STATISTICS AND INFORMATION TECHNOLOGY FOR BUSINESS MANAGEMENT
Disciplinary sector: 
ECONOMIC STATISTICS (SECS-S/03)
Credits: 
9
Year of study: 
3
Teachers: 
Cycle: 
Second semester
Hours of front activity: 
72

Language

Italian

Course description

The aim of the course is to provide the statistical methods for identifying the dynamics of an economic or financial time-series, for forecasting in absence of structural changes and for modelling the relationship among time-series in a multivariate context.

Prerequisites

Passing the exam of Statistics.

Syllabus

I part (24 hours). Stochastic analysis of time-series. Global and partial autocorrelation. AutoRegressive (AR),
Moving Average (MA) and ARMA models. Seasonal models. Box-Jenkins procedure: identification, estimation and
diagnostics. Forecasting theory. Nonstationary time-series. ARIMA models. Seasonal ARIMA models. ADL models.
II part (12 hours). Regime-switching models.
III part (12 hours). Multivariate time series. VAR models. Garnger causality. Cointegration.
IV part (24 hours). Financial time-series. ARCH and GARCH models.
Asymmetric heteroskedastic models. Volatility forecasting. Value-at-Risk estimation.

Teaching Methods

Textbooks

CRYER CHAN, Time Series analysis with applications in R, Springer

Learning assessment

Oral examination. The student has to show to know the main statistical models for the analysis of time series.
Moreover, the student has to analyze the dynamics of a time series using the open source software Gretl or R.

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