COURSE OUTLINE
Time Series Analysis
1. General
School
Academic Unit
Level of Studies
Course code
Semester
Course Title
Idependent Teaching Activities
Weekly Teaching Hours
Credits
Course Type
Prerequite Courses
Language of Instruction and Examinations
Is the course offered to Erasmus Students?
Url (Eclass)
2. Learning Outcomes
Learning Outcomes
The course aims to highlight the necessity of modern econometric tools in the analysis of financial concepts and phenomena. Specifically, the understanding, application, and analysis of financial data constitute essential skills in the toolkit of the modern economist.
Upon successful completion of the course, students will be able to:
- Use a modern econometric software/tool,
- Analyze the statistical and econometric properties of models,
- Analyze financial data using statistical measures and graphical representations.
General Competences
- Search, analysis, and synthesis of data and information using the necessary technologies
- Independent work
- Work in an international environment
- Critical and self-critical thinking
- Promotion of free, creative, and inductive thinking
3. Syllabus
- Basic concepts of statistics (distributions, descriptive statistics)
- Types of data
- Returns and portfolio theory
- Regression analysis (ordinary least squares method, estimators, assumptions, standard error)
- Hypothesis testing
- Multiple linear regression (F-test, R²)
- Principal Component Analysis (PCA)
- Problems in econometric models (diagnostics, correction) – Heteroscedasticity, Autocorrelation, Multicollinearity, Parameter Stability
- Univariate time series models
- Moving average models
- Autoregressive models
- ARMA models
- Modeling and forecasting
4. Teaching and Learning Methods - Evaluation
Delivery
Use of Information and Communications Technology
-The electronic platform is used for uploading the lecture materials.
-Lectures are conducted using a computer and econometric software/tool.
Teaching Methods
Activity
Semester Workload
Student Performance Evaluation
- Written final examination in the Greek language. The examination includes multiple-choice questions, comprehension questions on the material, and problem-solving exercises.
- Midterm examination in the Greek language.
- Assignment
5. Attached Bibliography
Suggested Bibliography
- C. Brooks, Introductory Econometrics for Finance
- Instructor’s notes