Master
2024/2025
Forecasting at the Financial Markets
Type:
Elective course (Master of Finance)
Area of studies:
Finance and Credit
Delivered by:
HSE Banking Institute
Where:
HSE Banking Institute
When:
2 year, 3 module
Mode of studies:
distance learning
Online hours:
20
Open to:
students of one campus
Master’s programme:
Finance
Language:
English
ECTS credits:
6
Course Syllabus
Abstract
The course is an introduction to main forecasting techniques used in economics and finance. It covers topics ranging from data collection and preparation to econometrics, general equilibrium and machine learning models used in forecasting. This course is mostly practical, not theoretical, so a significant amount of time will be devoted to application of the models discussed to real data.
Learning Objectives
- The main aim of the course is to provide the students with understanding of how the forecasting is usually conducted. It includes both the ability to use and evaluate external forecasts and the ability to make forecasts themselves.
- Students should be able to find the data they need, choose the model suitable to a certain problem, evaluate the forecasting performance of the model and interpret the results obtained. Apart from that, application of forecasting to decision-making process will be discussed.
Expected Learning Outcomes
- • Understand forecasting and how it differs from explanation • Understand outlier detection and missing value imputation techniques • Understand the primary seasonal adjustment techniques
- • Know the main univariate forecasting models
- • Know the main multivariate forecasting models
- • Know the main forecast accuracy measures • Be able to cross-validate the model
- • Understand the problem and main techniques of nowcasting • Be familiar with main methods of working with mixed-frequency data
- • Be familiar with Bayesian and machine learning approaches
Course Contents
- The process of forecasting and data preparation
- Univariate forecasting models
- Multivariate time series
- Forecast comparison and evaluation
- Nowcasting and forecast combination
- Advanced topics
Interim Assessment
- 2024/2025 3rd module0.61 * Final Test + 0.065 * Test 1 + 0.065 * Test 2 + 0.065 * Test 3 + 0.065 * Test 4 + 0.065 * Test 5 + 0.065 * Test 6
Bibliography
Recommended Core Bibliography
- Enders, W. (2015). Applied Econometric Time Series (Vol. Fourth edition). Hoboken, NJ: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1639192
Recommended Additional Bibliography
- Economic forecasting and policy, Carnot, N., 2011
- International Monetary Fund. Monetary, & Capital Markets Department. (2019). Global Financial Stability Report, October 2019. [N.p.]: INTERNATIONAL MONETARY FUND. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=2274328
- Makridakis, S., Wheelwright, S. C., & Hyndman, R. J. (1998). Forecasting: Methods and Applications. Cyprus, Europe: John Wiley & Sons, Inc. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.F848CE7