DS 809 (02) - Time Series Analysis

Time Series Analysis

Durham   Paul College of Business&Econ :: Decision Sciences
Credits: 3.0
Term: Spring 2024 - Term 3 (01/23/2024 - 03/15/2024)
Grade Mode: Letter Grading
Class Size:   20  
CRN: 56836
The course is designed to introduce analytical techniques needed in the estimation and analysis of temporal (time series) data in various business disciplines. The course focuses on theoretical and application aspects of stationary/non-stationary univariate as well as multivariate time series models. Emphasis will be given to topics such as time series regression, random walks, ARIMA/SARIMA processes, ARCH/GARCH for modeling conditional volatility, Vector ARMA models, and transfer functions. Modern software implementation is fully integrated into the course. Some examples of the business application areas include demand forecasting, financial asset return modeling, stochastic volatility modeling of financial indexes and securities, mortgage default risk assessment, online webpage click-rate modeling, market share modeling.
Registration Approval Required. Contact Instructor or Academic Department for permission then register through Webcat.
Prerequisite(s): DS 803
Instructors: David Reynolds

Times & Locations

Start Date End Date Days Time Location
1/23/2024 3/15/2024 T 2:10pm - 5:30pm PBLANE 216