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MSF 566 - Time Series Analysis

Course Description: 

This course develops a portfolio of techniques for the analysis of financial time series. Distribution theory covers the normal, student T, chi-squared, and mixture of normal models. Technical analysis covers a variety of trading rules including filters, moving averages, channels, and other systems. The first two topics are then combined into an analysis of non-linear time series models for the mean. The course concludes with a review of volatility models including GARCH, E-Garch and stochastic volatility models.

Credit: 

(3-0-3)

Prerequisite: 

[(MSF 504 and MSF 505)]

Corequisite: 

None