CFRM 553: Financial Time Series Forecasting Methods

This course is an introduction to the role that forecasts can play in investment decisions, especially investing that involves views on short-term opportunities that are implemented through informed rebalancing or explicit asset class tilts away from benchmark. Learning of the theoretical concepts will be re-enforced through use of computing exercises. Topics include:

  • Types of forecasts, dynamic forecasts, direct forecasts
  • Forecasts by simulation for nonlinear models
  • The role of macroeconomic forecasts in investing
  • An approach to macroeconomic forecasting
  • Asset class returns forecasts
  • Ways to combine forecasts using dynamically updated weights
  • Ways to account for nonlinearity
  • Foreign exchange (FX) forecasts: carry trade motive, momentum strategies, incorporating long-run valuation correction
CFRM 542 or equivalent, or permission.