Forecasting in Macroeconomics and Finance


Basic Information

  • Organizer: FDPE
  • Location: University of Jyväskylä, School of Business and Economics, Mattilanniemi, Agora building
  • Time schedule and syllabus
  • Content: 24 hours lectures, laboratory sessions 7 hours, assignments and term paper
  • Credit units: 5 ects

Teaching Staff

  • Professor Vance Martin (University of Melbourne)

Course Description

The course in Forecasting Macroeconomics and Finance is a 4 day Ph.D. course for doctoral students in economics and finance. The main focus of the course is in time-series econometrics with a special emphasis on forecasting. Both single equation methods based on ARMA and ARMAX models are presented, as well as multiple equation models based on VARs and VECMS. Also covered are Bayesian VARs, Structural VARs and dynamic latent factor models as additional methods designed to improve forecast precision. The last part of the course focuses on volatility modelling and forecasting using GARCH and MGARCH models, as well as recent methods based on realized volatility including the HARA model. The course material will be demonstrated using a number of empirical applications, case studies and datasets. Students are expected to have their own laptops with them and at least some familiarity of software pages of e.g.  R, EViews, RATS or equivalent is expected. 

Teaching Material

  •  To be added here