The course provides an introduction to modelling and forecasting economic and financial variables using regression and time series methods, both in a parametric and a nonparametric framework, with an emphasis on applications in business, marketing and industry.
Topics covered include: the linear regression model, modelling interventions, deterministic trends and seasonality, forecasting with regression models, forecasting with exponential smoothing, Holt and Winters and related techniques, local polynomial regression and kernel smoothing, introduction to stochastic processes and time series models, stationarity, autocovariance and autocorrelation function, measuring and forecasting the volatility of financial time series.