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Prof. C P Gupta
Senior Professor,
Department of Finance and Business Economics, South Campus University of Delhi, Delhi
Date | Topic | Details of the Topics |
---|---|---|
14 May, 2022 | Introduction to Time series | Traditional Vs. Modern Way of looking at Time Series, understanding Data Generating Process Behind Time series |
Stationarity in Time Series | Discussion about ACF and PACF. Unit Root and testing of Unit Root. Random Walk and Connect between Finance and Random Walk | |
16 May, 2022 | Uni-variate time series modelling – orecasting Mean | Autoregressive model (AR), Moving Average model (MA), Autoregressive Moving Average model (ARMA), Autoregressive Integrated Moving Average model |
Uni-variate time series modelling – Forecasting Mean | Stylized Facts in Finance – Modeling Volatility using ARCH and GARCH | |
02-Apr-22 | Co-integration and Granger Causality | Engel Granger Causality and its test, VAR model, VECM model, Cointegration and Error Correction Model Johansen test, Impulse Response Function and Variance Decomposition |