Financial Mathematics (MIT) - 12. Time Series Analysis III

4.0 (3)

33 learners

What you'll learn

This course includes

31.5 hours of video
Certificate of completion
Access on mobile and TV

Summary

Keywords

cointegration cointegrated VAR model linear state-space model Kalman filter

Full Transcript

MIT 18.S096 Topics in Mathematics with Applications in Finance, Fall 2013 View the complete course: http://ocw.mit.edu/18-S096F13 Instructor: Peter Kempthorne This is the last of three lectures introducing the topic of time series analysis, describing cointegration, cointegrated VAR models, linear state-space models, and Kalman filters. License: Creative Commons BY-NC-SA More information at http://ocw.mit.edu/terms More courses at http://ocw.mit.edu

Continue this lesson in the app

Install CourseHive on Android or iOS to keep learning while you move.

Welcome