Time Series and Forecasting

CAS MA 585

Autocorrelation and partial autocorrelation functions; stationary and nonstationary processes; ARIMA and Seasonal ARIMA model identification, estimation, diagnostics, and forecasting. Modeling financial data via ARCH and GARCH models. Volatility estimation; additional topics, including long-range dependence and state-space models.

SPRG 2015 Schedule

Section Instructor Location Schedule Notes
A1 Gangopadhyay TR 11:00 am-12:30 pm

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