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Home | Events Archive | Econometric Methods for Forecasting and Data Science with Applications in Finance, Economics and Business
Summer School

Econometric Methods for Forecasting and Data Science with Applications in Finance, Economics and Business


  • Location
    Tinbergen Institute Amsterdam
    Amsterdam
  • Date

    August 19, 2019 until August 23, 2019

The importance of developing appropriate quantitative models and methods for risk-assessment, climate-impact scenarios, energy policy, house market prices, and big data analyses generally are well understood in the academic and professional worlds. The developments in new technologies for econometric modelling, analysis and forecasting of (big) data in finance, economics and business are moving forwards rapidly. In this summer school we will treat a number of these developments in much detail. In each case we start with the basics of the methodology and theory, we illustrate their use and their importance, we implement the basic methods in a computer lab, and we review the latest developments in the academic and professional literature. Given the interdisciplinary nature of the summer school, we start with a review of the basic methods and theory in each case. More specifically, we aim to treat the latest developments in univariate time series models, dynamic econometric models, volatility models, dynamic factor models, state space models, time-varying location and scale models, etc. The practical use of econometric methods in the context of specific applications are assessed in individual cases targeted towards the backgrounds of the participants.