Time Series and Forecasting

Prerequisites: (CASMA 581 or ENGEK 381 or ENGEK 500) or consent of instructor. - 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.