Chair of Financial Econometrics
print

Language Selection

Breadcrumb Navigation


Content

Time Series Analysis

Lecture  (Wohlrabe)

Tuesday 2 p.m. - 6 p.m. , c.t., Amalienstr. 73a, Raum 218

Tutorial (Fuest):

Friday 4 p.m - 8 p.m. , c.t., Theresienstraße 39 (B) - Raum B 046

Lecture and Tutorial in English.

Please find downloadable Scripts on the German Homepage. The password will be announced during the first lecture.

 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


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).

Record of achievement: 6 ECTS-Credits or "Schein" for passing a written exam at the end of the term.

Literature

  • 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

     Statistische Software

     Programmieren mit Statistischer Software

Exercise Sheets

     Downloads