Howdy …
Through this semester, we are all together learning the concept of Time Series Analysis, not only for discussing the concept but also the hands-on experience of conducting the analysis of the real data.
There are two main data that will be discussed in this class. Based on its different characteristics, the first data is the macroeconomics data, it has longer time observations, usually monthly or quarterly. The data usually less volatile, homo-scedastic and has cointegration.
The other type of data will be discussed in this curse is by analyzing the market data. Market data usually have a much higher frequency or data observations. It has the observations in daily, or intraday, or in real-time transaction. It has a more volatile data, hetero-scedastic, and non normally distributed.
In the end, students are expected to master in analyzing the different type of data related to economics and finance data.
Happy enjoy the course…
