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Time Series Analysis and Forecasting (ECOM90004)
Graduate courseworkPoints: 12.5On Campus (Parkville)
To learn more, visit 2023 Course and subject delivery.
About this subject
- Overview
- Eligibility and requirements
- Assessment
- Dates and times
- Further information
- Timetable(opens in new window)
Contact information
Semester 2
Laszlo Konya: l.konya@unimelb.edu.au
Overview
Availability | Semester 2 |
---|---|
Fees | Look up fees |
Normally topics will include current techniques used in forecasting in finance, accounting and economics such as regression models, Box-Jenkins, ARIMA models, vector autoregression, causality analysis, cointegration and forecast evaluation, ARCH models.
Intended learning outcomes
On successful completion of this subject students should be able to:
- Apply the Box-Jenkins methodology for identifying stationary and non-stationary univariate forecasting models,
- Apply VAR/VECM models to analyse relationships between economic and financial time series,
- Apply ARCH models to analyse and forecast the volatility of financial time series.
Generic skills
On successful completion of this subject, students should have improved the following generic skills:
- Evaluation of ideas, views and evidence
- Synthesis of ideas, views and evidence
- Strategic thinking
- Critical thinking
- Accessing economic and other information
- Summary and interpretation of information
- Application of Windows software
- Statistical reasoning
- Problem solving skills
- Written communication
Last updated: 31 January 2024
Eligibility and requirements
Prerequisites
One of
Code | Name | Teaching period | Credit Points |
---|---|---|---|
ECOM90001 | Basic Econometrics | Semester 1 (On Campus - Parkville) |
12.5 |
ECOM90002 | Econometrics 2 |
Semester 1 (On Campus - Parkville)
Semester 2 (On Campus - Parkville)
|
12.5 |
OR
Admission into the MC-COMACTS Master of Commerce (Actuarial Science)
Corequisites
None
Non-allowed subjects
Code | Name | Teaching period | Credit Points |
---|---|---|---|
ECOM30004 | Time Series Analysis and Forecasting | Semester 2 (On Campus - Parkville) |
12.5 |
Recommended background knowledge
Please refer to Prerequisites and Corequisites.
Inherent requirements (core participation requirements)
The University of Melbourne is committed to providing students with reasonable adjustments to assessment and participation under the Disability Standards for Education (2005), and the Assessment and Results Policy (MPF1326). Students are expected to meet the core participation requirements for their course. These can be viewed under Entry and Participation Requirements for the course outlines in the Handbook.
Further details on how to seek academic adjustments can be found on the Student Equity and Disability Support website: http://services.unimelb.edu.au/student-equity/home
Last updated: 31 January 2024
Assessment
Description | Timing | Percentage |
---|---|---|
Assignment
| Week 3 | 10% |
Assignment
| Week 6 | 10% |
Assignment
| Week 9 | 10% |
Assignment
| Week 12 | 10% |
End-of-semester examination.
| During the examination period | 60% |
Last updated: 31 January 2024
Dates & times
- Semester 2
Principal coordinator Laszlo Konya Mode of delivery On Campus (Parkville) Contact hours Two 1-hour lectures and a 1-hour tutorial/practice class per week. Total time commitment 170 hours Teaching period 24 July 2023 to 22 October 2023 Last self-enrol date 4 August 2023 Census date 31 August 2023 Last date to withdraw without fail 22 September 2023 Assessment period ends 17 November 2023 Semester 2 contact information
Laszlo Konya: l.konya@unimelb.edu.au
Time commitment details
Estimated total time commitment of 170 hours per semester
What do these dates mean
Visit this webpage to find out about these key dates, including how they impact on:
- Your tuition fees, academic transcript and statements.
- And for Commonwealth Supported students, your:
- Student Learning Entitlement. This applies to all students enrolled in a Commonwealth Supported Place (CSP).
Subjects withdrawn after the census date (including up to the ‘last day to withdraw without fail’) count toward the Student Learning Entitlement.
Last updated: 31 January 2024
Further information
- Texts
Prescribed texts
You will be advised of prescribed texts by your lecturer.
- Subject notes
Students may not gain credit for both ECOM90004 Time Series Analysis and Forecasting and ECOM30004 Time Series Analysis and Forecasting.
- Related Handbook entries
This subject contributes to the following:
Type Name Course Master of Commerce (Accounting) Course Master of Applied Econometrics Course Master of Commerce (Actuarial Science) - Available through the Community Access Program
About the Community Access Program (CAP)
This subject is available through the Community Access Program (also called Single Subject Studies) which allows you to enrol in single subjects offered by the University of Melbourne, without the commitment required to complete a whole degree.
Entry requirements including prerequisites may apply. Please refer to the CAP applications page for further information.
- Available to Study Abroad and/or Study Exchange Students
This subject is available to students studying at the University from eligible overseas institutions on exchange and study abroad. Students are required to satisfy any listed requirements, such as pre- and co-requisites, for enrolment in the subject.
Last updated: 31 January 2024