| Code | Lecturer(s) | Associate Lecturer(s) | Subsitute Lecturer(s) et other(s) |
|---|---|---|---|
| W-AETR-005 |
|
| Language of instruction | Language of assessment | HT(*) | HTPE(*) | HTPS(*) | HR(*) | HD(*) | Term |
|---|---|---|---|---|---|---|---|
| Français | Français | 30 | 15 | 0 | 0 | 0 | Q1 |
Contents
Univariate and multivariate time series analysis : ARMA, unit root and stationarity tests, VAR, ARCH and GARCH models, ... Data analysis : principal components, factorial analysis, clusters, ...
Required Learning Resources/Tools
Not applicable
Recommended Learning Resources/Tools
Not applicable
Other Recommended Reading
Chris Brook « Introductory econometrics for finance », Cambridge University Press Michel Tenenhaus : "Statistique : méthodes pour décrire, expliquer et prévoir"
Mode of delivery
- Face to face
Term 1 Assessment - type
- Presentation and works
- Written examination
Term 1 Assessment - comments
Weighting : 1/3 works by groups, 2/3 written examination
Term 2 Assessment - type
- N/A
Term 2 Assessment - comments
Not applicable
Term 3 Assessment - type
- Oral examination
- Written examination
Term 3 Assessment - comments
Based on the number of students, written or oral examination
Resit Assessment - Term 1 (B1BA1) - type
- N/A
Resit Assessment - Term 1 (B1BA1) - Comments
Weighting : 1/3 works by groups, 2/3 written examination
Type of Teaching Activity/Activities
- Cours (cours magistraux; conférences)
- Travaux pratiques / travaux de laboratoire / exercices de création et recherche en atelier / projet sur ordinateur /études de cas