Time Series and Forecasting

Course aim

Analyse the applications of modern time series models in business, finance and climate studies.

Course content

The components of a time series model.
Additive and multiplicative models.
Multiple regression analyses.
Spectral decomposition.
Box-Jenkins models.
Forecasting techniques.
Smoothing of time series.
GARCH and other volatility models,
Stochastic Differential Equations.

Textbook(s)

Tsay, RS 2005, Analysis of Financial Time Series 2, 2nd edition, John Wiley & Sons

Prerequisite(s)

Common to all relevant programs
Subject Area & Catalogue Number	Course Name
MATH 2020	Statistical Foundations

Corequisite(s)

Nil

Teaching method

Component	Duration
INTERNAL, MAWSON LAKES
Lecture	2 hours x 13 weeks
Computer Practical	2 hours x 13 weeks
Directed Study	N/A x 13 weeks

Note: These components may or may not be scheduled in every study period. Please refer to the timetable for further details.

Assessment

Assignment, Literature review, Project, including seminar presentation

Fees

EFTSL*: 0.125
Commonwealth Supported program (Band 2)
To determine the fee for this course as part of a Commonwealth Supported program, go to:
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Fee-paying program for domestic and international students
International students and students undertaking this course as part of a postgraduate fee paying program must refer to the relevant program home page to determine the cost for undertaking this course.

Non-award enrolment
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* Equivalent Full Time Study Load. Please note: all EFTSL values are published and calculated at ten decimal places. Values are displayed to three decimal places for ease of interpretation.