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Course syllabus D1-NMCR - Nonlinear time series models and their applications (FCE - 2019/2020 - post-graduate studies)

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University: Slovak University of Technology in Bratislava
Faculty: Faculty of Civil Engineering
Course unit code: D1-NMCR
Course unit title: Nonlinear time series models and their applications
Mode of delivery, planned learning activities and teaching methods:
workshop2 hours weekly / 26 hours per semester of study (on-site method)

Credits allocated: 5
Recommended semester/trimester: -- item not defined --
Level of study: 3.
Prerequisites for registration: none
Assesment methods:
seminar project, final project, test
Learning outcomes of the course unit:
Formulation and solution of real problems in the field of time series modelling. Acquiring fundamental knowledge about different types of non-linear time series models. After the course completion a student will be able to use a statistical test to determine, whether a linear or a non-linear model is more suitable for a given time series, and in the case of non-linear model to choose from the class of non-linear regime-switching models, and finally he will be able to apply the knowledge for time series description and prediction.
Course contents:
- Tests for linearity/nonlinearity of time series
- Nonlinear models of time series of type TAR (Threshold AutoRegressive), STAR types (Self-Exciting Transition Autoregressive, Smooth Transition Autoregressive) and MSW-AR (Markov Switching AutoRegressive).
- Selection of an appropriate type of nonlinear model for a given time series, parameter estimation and tests of appropriateness.
- Applications of nonlinear time series models for the description and forecasting future values of the series.
Recommended or required reading:
ARLTOVÁ, M. -- ARLT, J. Finanční časové řady – Vlastnosti, metody modelování, příklady a aplikace. Praha: GRADA Publ, 2003.
VAN DIJK, D. -- FRANSES, P. Non-linear time series models in empirical finance. Cambridge: Cambridge University Press, 2000.

Tong, H. (1990), Non-linear time series: A dynamical systems approach. Oxford University Press, Oxford

Language of instruction: slovak and english or english
Courses evaluation:
Assessed students in total: 3

100,0 %0 %
Name of lecturer(s): prof. RNDr. Magdaléna Komorníková, PhD. (examiner, instructor, lecturer, person responsible for course, tutor) - slovak, english
Last modification: 31. 10. 2017
Supervisor: prof. RNDr. Magdaléna Komorníková, PhD. and programme supervisor

Last modification made by Ing. Peter Korčák on 10/31/2017.

Type of output: