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Unit of study_

Time Series and Forecasting - QBUS3850

Year - 2020

Time series and dynamic modelling is a fundamental component of modern business practice. Further, forecasting is a required component of business decision making. This unit provides an introduction to the time series models used for the analysis of data arising in different business areas including finance, accounting, marketing, economics and many other disciplines. It then considers methods for point and interval forecasting, testing and sensitivity analyses, in the context of these models. Topics include: the properties of time-series data; Seasonal Exponential smoothing and ARIMA models; Vector Autoregressions; modelling and forecasting conditional volatility, via ARCH and GARCH; forecasting risk measures such as Value at Risk and Expected Shortfall; dynamic factor models. Emphasis is placed on applications involving the analysis of many real business datasets. Students are encouraged to undertake hands-on analysis using appropriate software.

1 x 2hr lecture and 1 x 1hr tutorial per week

mid-semester exam (20%), assignment (40%), final exam (40%)




Faculty: Business (Business School)

Semester 1

24 Feb 2020

Department/School: Business Analytics
Study Mode: Normal (lecture/lab/tutorial) day
Census Date: 31 Mar 2020
Unit of study level: Senior
Credit points: 6.0
EFTSL: 0.125
Available for study abroad and exchange: Yes
Faculty/department permission required? No
Courses that offer this unit

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