Time Series Analysis
Time series play a key role in analytical finance and insurance, and in financial engineering. The course presents the basic models of time series such as linear time series, autoregressive type models, nonlinear time series, high-frequency models, continuous time models and multivariate time series, elements of statistical estimation as well as simulation of time series. This basic part of the course can also be interesting for students from other specialties than analytical finance and financial engineering. The examples used in the course are selected from time series applications economics, finance and insurance.
Occasions for this course
Spring semester 2024
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Apply for freestanding course to Time Series Analysis to Spring semester 2024 (part time 50%) to Time Series Analysis to Spring semester 2024 (part time 50%) Apply for programme course
Scope
7.5 credits
Time
2024-01-15 - 2024-03-24 (part time 50%)
Education level
Second cycle
Course type
Freestanding course, Programme course
Application code
MDU-11062
Language
English
Study location
Västerås
Course syllabus & literature
See course plan and literature list (MMA702)Specific requirements
At least totally 120 credits in the engineering, natural sciences, business administration or economics areas including Stochastic Processes, 7.5 credits, of which 4.5 credits must be completed at the beginning of the course, or the equivalent. In addition Swedish course B/Swedish course 3 and English course A/English course 6 are required. For courses given entirely in English exemption is made from the requirement in Swedish course B/Swedish course 3.
Selection
University credits
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Apply for freestanding course to Time Series Analysis to Spring semester 2025 (part time 50%) to Time Series Analysis to Spring semester 2025 (part time 50%) Apply for programme course
Scope
7.5 credits
Time
2025-01-20 - 2025-03-30 (part time 50%)
Education level
Second cycle
Course type
Freestanding course, Programme course
Application code
MDU-11062
Language
English
Study location
Västerås
Course syllabus & literature
See course plan and literature list (MMA702)Specific requirements
At least totally 120 credits in the engineering, natural sciences, business administration or economics areas including Stochastic Processes, 7.5 credits, of which 4.5 credits must be completed at the beginning of the course, or the equivalent. In addition Swedish course B/Swedish course 3 and English course A/English course 6 are required. For courses given entirely in English exemption is made from the requirement in Swedish course B/Swedish course 3.
Selection
University credits