Chair of Financial Econometrics
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Time Series Analysis

 

Lecture  (Klaus Wohlrabe)

starting 14.04., Tuesday 2 p.m. - 6 p.m., c.t., Geschw.-Scholl-Pl. 1 (M) - M 110

You may choose between two dates for the tutorial (both tutorials offer the same content):

Tutorial (Malte Kurz)

starting 20.04., Monday 4 p.m. - 8 p.m., s.t., Geschw.-Scholl-Pl. 1 (E), Room E 216

Tutorial (Andreas Fuest):

starting 17.04., Friday 4 p.m. - 8 p.m., s.t., Amalienstr. 52 (K), Room K 401

Lecture and Tutorial in English.

 

Please find downloadable Scripts as well as the access to the moodle class and the term-time-schedule on the German Homepage. The password will be announced during the first lecture/tutorial.

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

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