Chair of Financial Econometrics
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Multivariate Time Series Analysis

Lecture (Mittnik)

Tuesday 2 p.m. - 6 p.m., Amalienstr. 73 - Room 110

Tutorial (Spanhel)

Friday 4 p.m. - 8 p.m., Theresienstraße 39 (B) - Room B 005

Topics:

  1. Overview
  2. ARMA processes
  3. Estimation
  4. Prediction
  5. Structural analysis
  6. Modeling nonstationary time series
  7. Modeling time-varying parameters
  8. GARCH

Literature:

  • Lütkepohl, H., New Introduction to Multiple Time Series Analysis, New York: Springer-Verlag, 2005
  • Brockwell, P. J. and Davis, R. A. (1987), Time Series: Theory and Methods (2nd edition)
  • Hamilton, J. D. (1994), Time Series Analysis, Princeton University Press
  • Lütkepohl, H., Krätzig, M. (2004), Applied Time Series Econometrics, Cambridge University Press
  • Rinne, H. and Specht, K. (2002), Statistische Modellierung, Schätzung und Prognose, Vahlen
  • Tsay, R. S. (2005), Analysis of Financial Time Series (2nd edition), Wiley-Interscience
  • Wei, W. W. S.(2005), Time Series Analysis: Univariate and Multivariate Methods (2nd edition), Addison-Wesley