Econometrics

This class is an introduction to time series and to their broad use in management science. After some reminders on random walks and white noises, the first part of the class introduces autoregressive processes and then moves on to moving averages. It also covers more complex dynamics such as ARCH and GARCH processes.

The second part of the class consists in student presentations. These presentations can be related to Vasicek processes for instance and involve a strong implementation dimension. Students are graded via these presentations.