Organizational info:
- Academic Year: 2025-2026;
- Instructors: Brunero Liseo (3CFU) + Nina Deliu (6CFU)
- Curriculum: FINASS;
- Semester: Fall;
- Timetable:
- Tuesday 12-14 (room: Aula Master MEMOTEF, 5th floor)
- Wednesday 10-12 (room: Aula Master MEMOTEF, 5th floor)
- Thursday 10-12 (room: DIDALAB, 1th floor)
- Course resources and other info (exams, etc) are available on the course page, upon access.
Overview of the course.
Upon successful completion of the course, students will have developed a comprehensive knowledge and solid understanding of the theoretical foundations of time series analysis, including main properties (stationarity, invertibility, ergodicity, etc), and key time-series models (such as ARIMA and GARCH). They will acquire knowledge on stylized facts in financial data and the implications for model selection, forecasting and uncertainty quantification.
With a strong foundation in the methodology underlying model identification, estimation, diagnostics, and forecasting, students will autonomously analyze time series using R, report and interpret results meaningfully (R Markdown), and justify their modeling choices.
- Teacher: NINA DELIU
- Teacher: BRUNERO LISEO