The main aim of this course is to provide students with advanced econometric techniques required for econometric models; more specifically the aim is to provide the necessary skills needed for understanding econometric papers in the econometric modelling literature, to make students appreciate the importance of combining theory and data as well as to equip students with the good skills to conduct their own analyses. Topics include :models of seasonality, models of structural breaks, models of business cycle and models of financial markets.

Financial time series, random walk, GARCH models, CAMP models