Time Series Analysis

5th or 7th Semester

At A Glance

Course Code

ΧΡΟΑΧ01

Course Type

Special background

Teaching Language

Greek

Is the course offered to Erasmus Students?

Ναι

Teaching Delivery

Face-to-face

Use of Information and Communications Technology

-The electronic platform is used for uploading the lecture materials.

-Lectures are conducted using a computer and econometric software/tool.

Independent Teaching Activities

Type

Lectures

Weekly Teaching Hours

ECTS Credits

7,5

Course Outlines

🇬🇷 Greek

🇬🇧 English

External Links

Student Performance Evaluation

Written final examination in the Greek language. The examination includes multiple-choice questions, comprehension questions on the material, and problem-solving exercises.
Midterm examination in the Greek language.
Assignment

Learning Outcomes

The course aims to highlight the necessity of modern econometric tools in the analysis of financial concepts and phenomena. Specifically, the understanding, application, and analysis of financial data constitute essential skills in the toolkit of the modern economist.

Upon successful completion of the course, students will be able to:

Use a modern econometric software/tool,
Analyze the statistical and econometric properties of models,
Analyze financial data using statistical measures and graphical representations.

General Competences

Search, analysis, and synthesis of data and information using the necessary technologies
Independent work
Work in an international environment
Critical and self-critical thinking
Promotion of free, creative, and inductive thinking

Syllabus

Basic concepts of statistics (distributions, descriptive statistics)
Types of data
Returns and portfolio theory
Regression analysis (ordinary least squares method, estimators, assumptions, standard error)
Hypothesis testing
Multiple linear regression (F-test, R²)
Principal Component Analysis (PCA)
Problems in econometric models (diagnostics, correction) – Heteroscedasticity, Autocorrelation, Multicollinearity, Parameter Stability
Univariate time series models
Moving average models
Autoregressive models
ARMA models
Modeling and forecasting