This course is available on the BSc in Actuarial Science, BSc in Business Mathematics and Statistics, BSc in Mathematics with Economics and BSc in Mathematics, Statistics and Business. This course is available as an outside option to students on other programmes where regulations permit and to General Course students.
This course is available on the BSc in Actuarial Science, BSc in Business Mathematics and Statistics, BSc in Mathematics with Economics and BSc in Mathematics, Statistics and Business. This course is available as an outside option to students on other programmes where regulations permit and to General Course students.
This course will be delivered through a combination of classes, lectures and Q&A sessions totalling a minimum of 30 hours across Lent Term. This year, some of this teaching may be delivered through a combination of classes and flipped-lectures delivered as short online videos. This course includes a reading week in Week 6 of Lent Term.
Written answers to set problems will be expected on a weekly basis.
Peter J. Brockwell and Richard A. Davis, Introduction to Time Series and Forecasting Robert H. Shumway and David S. Stoffer, Time Series Analysis and Its Applications: With R Examples Christopher Chatfield, The Analysis of Time Series Ruey S. Tsay, An Introduction to Analysis of Financial Data with R Peter J. Brockwell and Richard A. Davis, Time Series: Theory and Methods Christian Francq and Jean-Michel Zakoïan, GARCH Models: Structure, Statistical Inference and Financial Applications
Exam (90%, duration: 2 hours) in the summer exam period. Coursework (10%).