Dr Matteo Barigozzi COL.7.11

This course is compulsory on the BSc in Statistics with Finance. This course is available on the BSc in Actuarial Science, BSc in Business Mathematics and Statistics, BSc in Mathematics with Economics and BSc in Mathematics, Statistics, and Business. This course is available as an outside option to students on other programmes where regulations permit and to General Course students.

2nd year statistics and probability

The course introduces the student to the statistical analysis of time series data and simple models. What time series analysis can be useful for; autocorrelation; stationarity, trend removal and seasonal adjustment, basic time series models; AR, MA, ARMA; invertibility; spectral analysis; estimation; forecasting; introduction to financial time series and the GARCH models; unit root processes. 

20 hours of lectures and 10 hours of seminars in the MT.

There will be a reading week in week 6. 

Written answers to set problems will be expected on a weekly basis.

Peter J. Brockwell and Richard A. Davis, Introduction to Time Series and Forecasting

Christopher Chatfield, The Analysis of Time Series.

Robert H. Shumway, David S. Stoffer, Time Series Analysis and Its Applications: With R Examples

Ruey S. Tsay, An Introduction to Analysis of Financial Data with R

Exam (100%, duration: 2 hours) in the summer exam period.