The aim of the course is providing advanced tools to study in-depth economic and financial time series. Methodological aspects, such as non-stationarity, non-linearity, volatility and forecasting, are presented together with empirical applications, with the help of open source R software.
a) At the end of the course the students obtain the statistical knowledge needed to analyze in-depth economic and financial time series. Specifically, issues related to the estimation and forecasting of univariate and bivariate series will be addressed. The presence of exercises and case studies during the course will allow to give an empirical view of real cases. All proposed topics will be supported by applications with the R. software.
b) The aim of the course is to develop the critical skills in empirical analysis, through the application of statistical tools to the study of real phenomena. The use of the R program will also allow the student to extend and adapt his knowledge in different analytical and empirical contexts.