This course covers introductory material in time series and forecasting with a focus on financial assets. The topics include simple ARIMA models, seasonality, determinants of bond yields, exchange rates, equity, simple forecasting models for point and probability forecasts, surveys of professional forecasts, leading indicators, model selection, biases and forecast evaluation. The goal of the course is to provide the students with the tools to create simple forecasting models in R and evaluate them as well as to write a short empirical research report applying some of the models. It is applicable to both a career in financial services and day-to-day economic forecasting for investment purposes.
