Note: This is the 2024鈥�2025 eCalendar. Current program and course information is now found in the 秀色直播 Course Catalogue at .
Overview
Economics (Arts) : This course covers advanced time series methods used in the analysis of financial data and other potentially non-stationary time series. Topics: integrated time series, co-integration, unit root testing, conditional heteroscedasticity, long memory, non-parametric and neural network models. Applications include market efficiency, stochastic volatility and predictability of asset returns.
Terms: Winter 2025
Instructors: Dufour, Jean Marie (Winter)
