Fractional Time Series Models

June 24-25, 2013

Title: Fractional Time Series Models

Location: Department of Economics and Business
Organized by CREATES

  • Lecturer: Morten Ø. Nielsen, Queen's University and CREATES
  • Course description

    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.

  • Syllabus (version 2)
  • ECTS: 0
  • Registration (closed)