Chair of Financial Econometrics
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Time Series Analysis

Lecture and Tutorial

Lecture  (Wohlrabe)

Tue 2 p.m. - 6 p.m. , Edmund-Rumpler-Strasse 9  Room 027

Tutorial (Fuest):

Fri 4 p.m - 8 p.m. , Geschwister-Scholl-Platz 1 (A) -  A U115

 

Topics

  1. Overview
  2. Basic Concepts in Stochastic Processes
  3. Univariate ARIMA Processes
  4. Estimation and Prediction for ARIMA Models
  5. Univariate GARCH Models
  6. Selected Topics: Long Memory und Fractional Differencing, Threshold-Modelle

Target audience: Advanced bachelor and master students in economics, business, statistics, mathematics and computer science.

Prerequisites: Working knowledge of mathematics (analysis, linear algebra) , basic knowledge of econometrics (Econometrics I) or statistics (linear models).

6 ECTS-Credits / Schein: passing written exam

The first part of the lecture „Multivariate Time Series Analysis“ is equivalent to the lecture „Multivariate Zeitreihen“ (3 ECTS-Credits) for statisticians; the second part can be recognised as „Ausgewählte Gebiete der theoretischen Statistik“ (3 ECTS-Credits).

Literatur

  • Shumway, R. H., Stoffer, D. S., Time Series Analysis and Its Applications (2nd edition), New York: Springer-Verlag, 2006
  • Brockwell, P.J., Davis, R.A., Introduction to Time Series and Forecasting (2nd edition), New York: Springer-Verlag, 2002
  • Brockwell, P.J., Davis, R.A., Time Series: Theory and Methods (2nd edition), New York:Springer-Verlag, 1987
  • Hamilton, J.D., Time Series Analysis, Princeton University Press, 1994
  • Tsay, R.S., Analysis of Financial Time Series (2nd edition), Wiley-Interscience, 2005

 R-Links

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Exercise Sheets

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