The purpose of this subject is to introduce students to the theoretical and applied aspects of multivariate time series modelling in Finance. This subject provides students with a basic understanding of the linear algebra, multivariate calculus and simultaneous-equation models needed to work in this area. Topics covered include VAR modelling, Granger causality analysis, error correction models, cointegration, impulse response functions and variance decompositions. There will be a strong focus on applications and on the use of the EViews econometrics package.

Subject rules