Location: Department of Economics and Business
Organized by CREATES
The course covers major statistical and econometric work on fractional time series models and their application in economics and finance.
Topics covered include definitions and properties of fractional time series models, e.g., the ARFIMA model, fractional Brownian motion, parametric and semiparametric estimation, fractional unit roots, and fractional cointegration. Both time domain and frequency domain methods will be covered. Finally, applications and examples in economics and finance are discussed.