316-350 Time Series Analysis and Forecasting

Coordinator:

Prerequisite/s:

Timetable:

Contact:

Objectives:

On completion of this subject students should:

• be familiar with advanced techniques to examine the time series properties of data sets drawn from economics and finance;

• be able to make forecasts and evaluate forecasts.

Content:

Current techniques used in forecasting in finance, accounting and economics. Regression models, exponential smoothing methods, Box-Jenkins, ARIMA models, vector autoregression, causality analysis, and forecast evaluation.

Assessment:

Prescribed Texts:

• Holden K et. al., Economic Forecasting: An Introduction, Cambridge University Press.