Course ObjectiveTo gain insights in economic and financial time series modelling with a
focus on theory, methods and computations.
Course ContentThis course focuses on theory, methodology and computational methods for
a general class of time series state space models
The econometric methodology is explored in detail for a number of
selected topics in the time series analysis of economic and financial
In particular, dynamic model properties, model formulations, likelihood
evaluations, signal extraction and Monte Carlo simulation methods are
Theory and methods are developed in detail: derivations are studied
which all start from basic principles in statistics and econometrics.
Various computer programs need to be developed for the implementation of
Method of Assessmentwritten exam
LiteratureSelection of literature:
- Brockwell, P.J. & R.A. Davis, Time Series: Theory and Methods. Second
Edition, Springer-Verlag, 1991.
- Durbin, J. & S.J. Koopman, Time Series Analysis by State Space
Methods. Second Edition, Oxford University Press, 2012.
- Selected papers.
|Language of Tuition||English|
|Faculty||School of Business and Economics|
|Course Coordinator||prof. dr. S.J. Koopman|
|Examiner||prof. dr. S.J. Koopman|
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Last-minute registration is available for this course.
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